I am skeptical that such a note will help.  The iterator behavior is clearly pointed out in the Python Tutorial [1] and in the IOBase documentation [2].  I suspect this bad code pattern is just being copied and pasted from other sources without folks ever even looking at the Python documentation.

[1] http://docs.python.org/dev/tutorial/inputoutput.html?highlight=readlines#methods-of-file-objects
[2] http://docs.python.org/dev/library/io.html#io.IOBase