dnsdist: Add missing thread names

[rgacogne]

Short description

Checklist

I have:

• [x] read the CONTRIBUTING.md document
• [x] compiled this code
• [x] tested this code
• [ ] included documentation (including possible behaviour changes)
• [ ] documented the code
• [ ] added or modified regression test(s)
• [ ] added or modified unit test(s)

[rgacogne]

CI failure is unrelated.