I suggest append "An empty last part will result in a path that ends with a separator" or something similar to the docstring, though it is already in the HTML documentation. 

Suppose someone does this like me:

In [10]: join('a', sep)
Out[10]: '/'

He must be surprised. He has to guess how to append a separator if he does not look at the code, or fiddle around until he finds the soultion. 

Given it explained in the docstring, after he sees:

In [10]: join('a', sep)
Out[10]: '/'

He will probably look at the docstring:

In [16]: join?
Type:       function
Base Class: <type 'function'>
String Form:<function join at 0x7f053fc93ed8>
Namespace:  Interactive
File:       /usr/lib/python2.7/posixpath.py
Definition: join(a, *p)
Docstring:
Join two or more pathname components, inserting '/' as needed.
If any component is an absolute path, all previous path components
will be discarded. An empty last part will result in a path that
ends with a separator.

Ok, he immediately knows he has to supply an empty string instead of a separator.