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

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 through the :attr:`~Thread.daemon` property or the *daemon* constructor
+.. 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.