Why would BizTalk 2016 kill custom pipeline component threads?

Question

I have a BizTalk Custom Pipeline Component that writes an SFTP file (using SSH.net), triggered by an SFTP (WinSCP) receive location.

The code within the Retry occasionally (around half the time) does not hit either the "Success" nor the logging catch block and no further processing occurs within the Pipeline. I assume that means the thread has been destroyed.

I added the Retry code later to make it try a few times but with the thread being destroyed I don't always get a success or 3 failures.

What could cause this behaviour in BizTalk 2016?

public void Archive(byte[] content,
            string archivePath,
            string userName,
            string password,
            string serverAddress,
            string sshHostKeyFingerprint)
        {
            Retry(3, () =>
            {
                try
                {
                    using (var sftpClient = new SftpClient(serverAddress, userName, password))
                    {
                        if (!string.IsNullOrWhiteSpace(sshHostKeyFingerprint))
                        {
                            sshHostKeyFingerprint = sshHostKeyFingerprint.Split(' ').Last();
                            sftpClient.HostKeyReceived += delegate (object sender, HostKeyEventArgs e)
                            {
                                if (e.FingerPrint.SequenceEqual(ConvertFingerprintToByteArray(sshHostKeyFingerprint)))
                                    e.CanTrust = true;
                                else
                                    e.CanTrust = false;
                            };
                        }
                        sftpClient.Connect();
                        sftpClient.WriteAllBytes(archivePath, content);
                        sftpClient.Disconnect();
                        LogInfo($"Success");
                    }
                }
                catch (Exception exception)
                {
                    // show the bad path for "No such file" errors
                    throw new InvalidOperationException($"Failed to create file '{archivePath}'", exception);
                }
            });
        }

private void Retry(int maxAttempts, Action action)
        {
            int attempt = 1;
            while (attempt <= maxAttempts)
            {
                try
                {
                    action();
                    break; // success
                }
                catch (Exception exception)
                {
                    LogWarning($"Attempt {attempt} Error: {exception.ToString()}");
                    if (attempt == maxAttempts)
                        throw; // final attempt exception propagated
                }
                finally
                {
                    attempt++;
                }
            }
        }