As per Robert:

Getting the activation factory during NotificationPlatformBridgeWin::Display will spin up the MTA marshaling machinery (COM on my machine decides 5 threads are needed), and all outgoing calls here marshal to those MTA threads through the magic of COM.

With an MTA, no threads spin up until we actually show to toast (3, for IWpnPlatform, 2 to perform some other servicing I haven't yet identified).