A warning is not appropriate (we reserve those for things that are security related, pretty much). A sentence might be, though.  For example, we could change the initial discussion of the run function to say:

   This does not capture stdout or stderr by default. To do so, pass PIPE for the stdout and/or stderr arguments.  You *must* do this if you run your python program with pythonw on windows, since pythonw closes the standard streams.

Here I'm adding the windows sentence to the existing "This does not capture" sentence.