.Net: Make AgentThread.Create protected and expose on concrete implementations where possible

[westey-m]

Motivation and Context

Some Agents don't support a direct create operation, and threads are created automatically on first invocation.

Description

Make AgentThread.Create protected and expose on concrete implementations where possible

Contribution Checklist

• The code builds clean without any errors or warnings
• The PR follows the SK Contribution Guidelines and the pre-submission formatting script raises no violations
• All unit tests pass, and I have added new tests where possible
• I didn't break anyone 😄