The callback will be called always on a UI thread.
If the request was using the XmlHttp stack (which is the default if you call it from a UI thread) then the networking stack invokes the callback registered by the WCF Data Service on the UI thread. So in this case it's a behavior of the DataServiceCollection/DataServiceContext but a behavior of the underlying network stack.
If you call the request from a non-UI thread or you explicitely set the Http stack to be Client then the callback will come back on a non-UI thread (potentially a different one). We still move it back to the UI thread before letting the caller know. The reason for this is consistency, especially since you can't interact with UI elements on background threads.
If you would execute the query manually, so for example through DataServiceContext.BeginExecute, then the materialization (or most of it anyway) is driven by the caller, since the call returns just IEnumerable which is not yet populated. If you would then transfer execution to a worker thread and enumerate the results there, the materialization will happen on that thread.
Just curious, why do you want to move it? Are you processing so much data, that it causes a visible UI lag?