Clarify zmq_poll restrictions

doc/zmq_poll.txt

@@ -36,6 +36,9 @@ descriptor 'fd', for the event(s) specified in 'events'. If both 'socket' and
 'fd' are set in a single *zmq_pollitem_t*, the 0MQ socket referenced by
 'socket' shall take precedence and the value of 'fd' shall be ignored.
 
+NOTE: All 0MQ sockets passed to the _zmq_poll()_ function must share the
+same 0MQ 'context' and must belong to the thread calling _zmq_poll()_.
+
 For each *zmq_pollitem_t* item, _zmq_poll()_ shall first clear the 'revents'
 member, and then indicate any requested events that have occured by setting the
 bit corresponding to the event condition in the 'revents' member.