Improve thread pool creation failure handling. (#13313)
### Description
Detect and report thread creation failure on Windows.
Do not throw out of constructor after the thread is created,
the thread handle is lost and cannot be joined, resulting in a deadlock.
Make setting a thread priority on Linux consistent with windows.
Set thread priority in the thread itself. Log failure properly,
but do not exit the thread.
### Motivation and Context
Address issues https://github.com/microsoft/onnxruntime/issues/13291
And
https://github.com/microsoft/onnxruntime/issues/13285#issuecomment-1278063223
