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
- `pzstd`
- `zstdmt`
- `zstd -T0` (which is the same as `zstdmt` AFAIK)
- ...

**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