Clarify that Gurobi.Env are not thread safe

[odow]

x-ref odow/SDDP.jl#859

[codecov]

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 94.30%. Comparing base (18666a0) to head (d56fd84).
Report is 1 commits behind head on master.

Additional details and impacted files

@@           Coverage Diff           @@
##           master     #637   +/-   ##
=======================================
  Coverage   94.30%   94.30%           
=======================================
  Files           6        6           
  Lines        2739     2739           
=======================================
  Hits         2583     2583           
  Misses        156      156           

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