[autograd] add documentation about multithread autograd (#37020)
Summary:
Pull Request resolved: https://github.com/pytorch/pytorch/pull/37020
Add multithread autograd documentation to the doc note.
Test Plan: Imported from OSS
Differential Revision: D21260996
Pulled By: wanchaol
fbshipit-source-id: 91d523560268ae62d4c6d773121b282ba837a561
