Your example is not thread safe because the GIL does not protect critical sections like that. The GIL only protects the Python internal interpreter state. PyList_SetItem discards a reference to the item being replaced. If the ref count of the item becomes zero, the item's destructor is run. The destructor can release the GIL.
IOW, your example is not much different than the equivalent Python code:
if len(lst) >= 3:
lst[0] = "..."
lst[1] = "..."
lst[2] = "..."
You'd never expect that to be thread safe either without using something like a threading.RLock() around it.
Let's look at the interpreter code:
1. PyList_SetItem calls Py_XSETREF(dst, src) where dst is the list position:
https://github.com/python/cpython/blob/ee46cb6aa959d891b0a48...
2. Py_XSETREF calls Py_XDECREF on the old item:
https://github.com/python/cpython/blob/ca8b55c7f54b38e264056...
3. Py_XDECREF calls Py_DECREF on non-Null objects:
https://github.com/python/cpython/blob/main/Include/object.h...
4. Py_DECREF can cause arbitrary code to run:
Warning: The deallocation function can cause arbitrary Python code to be invoked (e.g. when a class instance with a __del__() method is deallocated).
https://docs.python.org/3/c-api/refcounting.html#c.Py_DECREF
This is backed up by the documentation for PyList_SetItem:
This function “steals” a reference to item and discards a reference to an item already in the list at the affected position.
https://docs.python.org/3.8/c-api/list.html#c.PyList_SetItem
The "Defining Extension Types: Tutorial" also includes this warning in an example that uses Py_XDECREF:
But this would be risky. Our type doesn’t restrict the type of the first member, so it could be any kind of object. It could have a destructor that causes code to be executed that tries to access the first member; or that destructor could release the Global interpreter Lock and let arbitrary code run in other threads that accesses and modifies our object.
https://docs.python.org/3/extending/newtypes_tutorial.html#a...