[README] Add warning on multithreading

[odow]

Closes #166

[codecov]

Codecov Report

Merging #240 (bb16f0d) into master (cd47cec) will decrease coverage by 0.00%.
The diff coverage is 63.54%.

@@            Coverage Diff             @@
##           master     #240      +/-   ##
==========================================
- Coverage   72.18%   72.17%   -0.01%     
==========================================
  Files          12       12              
  Lines        1920     1790     -130     
==========================================
- Hits         1386     1292      -94     
+ Misses        534      498      -36     

Impacted Files	Coverage Δ
src/MOI_wrapper/constraints.jl	74.20% <56.45%> (+7.79%)	⬆️
src/MOI_wrapper/objective.jl	88.88% <60.00%> (-11.12%)	⬇️
src/MOI_wrapper/complementarity.jl	90.90% <66.66%> (-4.33%)	⬇️
src/MOI_wrapper.jl	84.06% <71.42%> (+0.90%)	⬆️
src/MOI_wrapper/results.jl	68.50% <90.90%> (+0.34%)	⬆️
src/MOI_wrapper/variables.jl	78.72% <100.00%> (-14.90%)	⬇️
src/libknitro.jl	46.86% <0.00%> (-0.74%)	⬇️
src/C_wrapper.jl	90.22% <0.00%> (ø)
... and 2 more

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