.Net: Add conformance tests for checking messages passed to thread.

[westey-m]

Motivation and Context

We want to make sure that all agents pass the same messages to the caller in the options callback and to the thread.
We already have tests for the option callback, also adding one to check the thread.

#11317

Description

Add conformance tests for checking messages passed to thread.

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 😄