Fix Python: Add a comment warning about an API limitation

Add a comment warning about a possible misuse of the events()
API. The objects returned by this function shall not be copied
as they become invalid as soon as the next event is accessed.

It is also invalid to access an event after its generator has
gone out of scope.

Signed-off-by: Jérémie Galarneau <jeremie.galarneau@efficios.com>