Issue #17208: add a note about the termination behaviour of daemon threads.

Author: pitrou

Doc/library/threading.rst

@@ -244,6 +244,12 @@ is that the entire Python program exits when only daemon threads are left.
 The initial value is inherited from the creating thread.  The flag can be
 set through the :attr:`~Thread.daemon` property.
 
+.. note::
+   Daemon threads are abruptly stopped at shutdown.  Their resources (such
+   as open files, database transactions, etc.) may not be released properly.
+   If you want your threads to stop gracefully, make them non-daemonic and
+   use a suitable signalling mechanism such as an :class:`Event`.
+
 There is a "main thread" object; this corresponds to the initial thread of
 control in the Python program.  It is not a daemon thread.