TLDR; "Does this mean static methods are inherently thread safe? The answer is no. Classes with the above note will have thread safe static methods because the Microsoft engineers wrote the code in a thread safe manner, perhaps by using locks or other thread synchronization mechanisms" (quote taken from http://odetocode.com/Articles/314.aspx)
More detail
What is it? Nothing, except the code written for that particular class.
The statement is a declaration telling you that the programmers who wrote the class have made sure that all of the static members (methods and properties) are thread safe (but have not done so for instance members).
The have made sure statics are thread safe because, being static, it is very likely that they will be called by multiple threads, so they put in the extra work necessary to make sure this will be okay. Often static methods are also stateless functions, meaning they are already generally thread safe (no additional work needed).
In contrast, for instance members the statement is simply them telling you they have not been as careful with them.
Often instances will be created by a single thread and only accessed by that thread; if the instance is never accessed by multiple threads, then thread safety is not an issue, so the programmers didn't bother to add it.
The statement is not a claim about any inherent properties of static vs instance; both can be unsafe unless you put specific code in to ensure multiple threads can access them without problems (or if by nature they are already thread safe, e.g. a stateless function).
It is simply a statement that the programmers who wrote those classes have made sure that the static members are safe, but have not done so for instance members.