document the requirement to call for all ranks (#801)

deepspeed/runtime/engine.py

@@ -1471,6 +1471,11 @@ class DeepSpeedEngine(Module):
                 used if not provided. Tag name must be the same across all ranks.
             client_state: Optional. State dictionary used for saving required training states in the client code.
             save_latest: Optional. Save a file 'latest' pointing to the latest saved checkpoint.
+
+        Important: all processes must call this method and not just the process with rank 0. It is
+        because each process needs to save its master weights and scheduler+optimizer states. This
+        method will hang waiting to synchronize with other processes if it's called just for the
+        process with rank 0.
         """
 
         # This is to make sure the checkpoint names are created without collision

docs/_tutorials/getting-started.md

@@ -127,6 +127,9 @@ accepts a client state dictionary `client_sd` for saving. These items can be
 retrieved from `load_checkpoint` as a return argument. In the example above,
 the `step` value is stored as part of the `client_sd`.
 
+Important: all processes must call this method and not just the process with rank 0. It is because
+each process needs to save its master weights and scheduler+optimizer states. This method will hang
+waiting to synchronize with other processes if it's called just for the process with rank 0.
 
 ## DeepSpeed Configuration
 DeepSpeed features can be enabled, disabled, or configured using a config JSON