Add code comments that python filter works slow in multi-threaded mode

[dyashuni]

Add warning that python filter works slow in multi-threaded mode

Edit:

• added comments with warnings in examples
• added examples to CI test

[yurymalkov]

I can imagine a scenario where a user is overwhelmed with those warning messages.
I guess we can put a condition that we show it only once index and/or we can add log levels, though that would require some designing.