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@ljanyst - Yeah, we've hit this a few times in CMS, so this part was unremarkable.  Here's the issues I know of:
- If a failure occurs, the callback may not be invoked from the callback threadpool.  Thus, the mutexes held can be problematic to predict, meaning the ordering is difficult.  (Haven't hit this with the python bindings, but hit it quite a few times in CMSSW.)
- There's some overlap between the `XrdCl::File::~File` callpath and the callback threadpool.
- If the main thread tries to exit while a callback is executing, you'll get a deadlock on pthread_join of the callback threadpool.

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