Update threadpool callback error messages to fix dotnet/runtime#38803 (#20171)

Update threadpool callback error messages to fix dotnet/runtime#38803 (#20171)

EDIT: Simple test case to trigger an error:
```csharp
        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);
```

Co-authored-by: kg <kg@users.noreply.github.com>