Problem: zmq_close manpage does not say it's asynchronous

Solution: clarify it since it's a common source of confusion

doc/zmq_close.txt

@@ -29,6 +29,9 @@ NOTE: The default setting of _ZMQ_LINGER_ does not discard unsent messages;
 this behaviour may cause the application to block when calling _zmq_ctx_term()_.
 For details refer to linkzmq:zmq_setsockopt[3] and linkzmq:zmq_ctx_term[3].
 
+NOTE: This API will complete asynchronously, so not everything will be deallocated
+after it returns. See above for details about linger.
+
 
 RETURN VALUE
 ------------