In short, When the SynchronizationContext.Current not is set, (which is the case on a console application). The await response is invoked on the ThreadPool.
On a Winforms/WPF a SynchronizationContext is implemented to queue the response to either the winforms controlToSendTo.BeginInvoke(); or the WPF Dispatcher.BeginInvoke();.
Reference:
Await, SynchronizationContext, and Console Apps (a blog post by a member of the dev team):
But there's one common kind of application that doesn't have a SynchronizationContext: console apps. When your console application's Main method is invoked, SynchronizationContext.Current will return null. That means that if you invoke an asynchronous method in your console app, unless you do something special, your asynchronous methods will not have thread affinity: the continuations within those asynchronous methods could end up running "anywhere."
Parallel Computing - It's All About the SynchronizationContext (an article referenced from the official documentation for the SynchronizationContext class):
By default, all threads in console applications and Windows Services only have the default SynchronizationContext.
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Figure 4 Summary of SynchronizationContext Implementations
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╔═════════╦═══════════╦════════════╦════════════╦══════════╦══════════╗
║ ║ Specific ║ Exclusive ║ Ordered ║ Send May ║ Post May ║
║ ║ Thread ║ (Delegates ║ (Delegates ║ Invoke ║ Invoke ║
║ ║ Used to ║ Execute ║ Execute ║ Delegate ║ Delegate ║
║ ║ Execute ║ One at ║ in Queue ║ Directly ║ Directly ║
║ ║ Delegates ║ a Time) ║ Order) ║ ║ ║
╠═════════╬═══════════╬════════════╬════════════╬══════════╬══════════╣
║ ... ║ ║ ║ ║ ║ ║
╠═════════╬═══════════╬════════════╬════════════╬══════════╬══════════╣
║ Default ║ No ║ No ║ No ║ Always ║ Never ║
╚═════════╩═══════════╩════════════╩════════════╩══════════╩══════════╝
