It's a good caveat, because Lua, in particular, has fully-reentrant functions. You can run a bunch of Lua_states cooperatively or on a threaded basis without problems. Everything the VM does, from the C side, receives a Lua_state as the first argument.

It's intrinsically single-threaded, yes. But each instance is quite small and they stay out of each others way. Add coroutines and there's a lot you can safely do with Lua that's a real pain to accomplish with Python.