Imagine you have some field myIntf of type IMyInterface in some class and that interface is implemented in native code. In some cases, it is useful to know which thread was used to introduce this interface to .NET first time. It is useful, because this interface would be connected/attached to that thread and call of any function from that interface will attempt to marshal execution to that thread, unless it is free threaded. And this thread could be blocked, destroyed etc.

So, imagine you have following code:
myIntf.Func1();

If you add Debug.Break(); before this line code and run your application from WinDbg and wait until execution will stop. Next, press