Add note about the GIL preventing parallelism

guide/src/parallelism.md

@@ -129,6 +129,12 @@ In the example below, we share a `Vec` of User ID objects defined using the
 `pyclass` macro and spawn threads to process the collection of data into a `Vec`
 of booleans based on a predicate using a rayon parallel iterator:
 
+* Note: This example is meant to illustrate how to drop and re-acquire the GIL
+        to avoid creating deadlocks. Unless the spawned threads subsequently
+        release the GIL or you are using the free-threaded build of CPython, you
+        will not see any speedups due to multi-threaded parallelism using `rayon`
+        to parallelize code that acquires the GIL.
+
 ```rust,no_run
 use pyo3::prelude::*;