Docs: Document the differences between the different multi-threaded options

Is your feature request related to a problem? Please describe.

At least from a external view it's confusing to choose the "right" multi-threaded program/options.

There are

Describe the solution you'd like

Better documentation on the differences or if there are no differences a sentence telling than.

Describe alternatives you've considered

N/A

Additional context

N/A

Short answer : prefer zstd -T0.

Now let's see what can be done to documentation to help.

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