Added known limitation section to the docs (#796)

Co-authored-by: Josef <sorry.i-keep@it.private>
Co-authored-by: Bruno Oliveira <nicoddemus@gmail.com>

docs/index.rst

@@ -60,4 +60,5 @@ Features
     crash
     how-to
     how-it-works
+    known-limitations
     changelog

docs/known-limitations.rst

@@ -0,0 +1,52 @@
+Known limitations
+=================
+
+pytest-xdist has some limitations that may be supported in pytest but can't be supported in pytest-xdist.
+
+Order and amount of test must be consistent
+-------------------------------------------
+
+Is is not possible to have tests that differ in order or their amount across workers.
+
+This is especially true with ``pytest.mark.parametrize``, when values are produced with sets or other unordered iterables/generators.
+
+
+Example:
+
+.. code-block:: python
+
+    import pytest
+
+    @pytest.mark.parametrize("param", {"a","b"})
+    def test_pytest_parametrize_unordered(param):
+        pass
+
+In the example above, the fact that ``set`` are not necessarily ordered can cause different workers
+to collect tests in different order, which will throw an error.
+
+Workarounds
+~~~~~~~~~~~
+
+A solution to this is to guarantee that the parametrized values have the same order.
+
+Some solutions:
+
+* Convert your sequence to a ``list``.
+
+  .. code-block:: python
+
+    import pytest
+
+    @pytest.mark.parametrize("param", ["a", "b"])
+    def test_pytest_parametrize_unordered(param):
+        pass
+
+* Sort your sequence, guaranteeing order.
+
+  .. code-block:: python
+
+    import pytest
+
+    @pytest.mark.parametrize("param", sorted({"a", "b"}))
+    def test_pytest_parametrize_unordered(param):
+        pass