Update threadpool callback error messages to fix #38803

[kg]

EDIT: Simple test case to trigger an error:

        ThreadPool.QueueUserWorkItem((_) => {
            throw new Exception("test");
        });
        var t = typeof(System.Threading.ThreadPool);
        var m = t.GetMethod("PumpThreadPool", System.Reflection.BindingFlags.NonPublic | System.Reflection.BindingFlags.Static);
        m.Invoke(null, null);

[CoffeeFlux]

LGTM, thanks!