[3.14] Docs: Improve the C API documentation involving threads (GH-145520) (GH-145757)

Docs: Improve the C API documentation involving threads (GH-145520)
(cherry picked from commit 7990313afa3234d5145b32ead3ef3f6278735f4f)

Co-authored-by: Peter Bierma <zintensitydev@gmail.com>
Co-authored-by: Stan Ulbrych <89152624+StanFromIreland@users.noreply.github.com>