It's a term for the nature of a problem, not a library or software package. It looks like they have designed the API so that "embarrassingly parallel" problems can naturally be computed using Polars. That would be fantastic, much better than Pandas. The way they write it sounds like marketing fluff to me and that's a shame because Polars looks like a useful thing.

“Embarrassingly parallel execution” means that it parallelizes (only) problems that are embarrassingly parallel. The meaning is clear — if you want to be really pedantic about it, problems are “parallelizable” and only execution is “parallel”, but “embarrassingly parallelizable” is too many syllables.