Hi, and thanks for the question. That method is only available in the full .NET 2.0 profile, so if you have your Unity project set for subeset, micro, or webplayer you will need to change it.
There's a little more context here:
Since the source code is avilable to the kit, the other option is to change that call to the regular ThreadPool.QueueUserWorkItem() method available everywhere and recompile the DLL. At some point I will get a moment to update the code myself to do just that so it works by default on all profiles. Sorry for the inconvenience in the interim.