Internally, the ConcurrentBag is implemented using several different Lists, one for each writing thread.
What that statement you quoted means is that, when reading from the bag, it will prioritize the list created for that thread. Meaning, it will first check the list for that thread before risking contention on another thread's list.
This way it can minimize lock contention when multiple threads are both reading and writing. When the reading thread doesn't have a list, or its list is empty, it has to lock a list assigned to a different thread. But, if you have multiple threads all reading from and writing to their own list, then you won't ever have lock contention.
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