[DOC] Improve documentation on multithreading and parallelization

Describe the issue linked to the documentation

Pull request https://github.com/sktime/sktime/pull/6002 deprecates setting n_jobs through object initialization. The docstring of deprecation shows how to do it, but

1. With :

c22_mv = Catch22(catch24=catch24, col_names="short_str_feat")
c22_mv.set_config(backend="joblib", backend_params={"n_jobs": n_jobs})

I get a warning c22_mv.set_config is not callablePylint[E1102:not-callable]

2. I cannot find anywhere in documentation how to set n_jobs, and how the set_config should work.

Once we remove the deprecation warning, it will become unclear (in my opinion) how to use multithreading at all.

Suggest a potential alternative/fix

Ideally, one of the pages in documentation should be dedicated to guide on multithreading.