If your computer/server has multiple Cores, it can do multiple things at once. Each of these things is called a thread. For instance, SAS might break up the data into several chunks and send each of those chunks to seperate cores, each core doing a thread of its own, which at the end of the process all these threads are woven back together to get the end product.
There is nothing to worry about, the Note just indicates that this was done. Its only really relevant if you have limited time/space on your server and want SAS to use less threads (i.e. taking more time but less resource).
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