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Starting at OpenSSL 1.1.0 it is thead-safe by itself, so mention that for people linking against it, they do not need to take further steps.
Also update the cURL link which has changed its location.
I've tried to reword things a bit to make it clearer (and remove a "may" for our last-resort locking function which might be taken as too much of a promise) but knowing what to do in order to use the network safely is still a minefield where you might need to initialise threading for two different libraries, and you don't know whether you have to until runtime.