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[WIP] Improving parallelization user guide #5404

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Description

Improves parallelization user guide and closes #1578.

For reviewers

  • Check that the PR title is short, concise, and will make sense 1 year
    later.
  • Check that new functions are imported in corresponding __init__.py.
  • Check that new features, API changes, and deprecations are mentioned in
    doc/release/release_dev.rst.

@alexdesiqueira
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Closing; something wrong on gh on my part. Continues on #5405.

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Mention apply_parallel in the user guide
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