Use throttler for first part in multi part

[GarrettBeatty]

Description

Fix a bug where previously the first part was not utilizing the throttler. this was an issue because in the scenario for directory downloads, where the http throttler is shared across multiple files, it would mean each file would bypass the throttling limits

Motivation and Context

#3806

Testing

1. unit tests
2. reran integ tests

Types of changes

• Bug fix (non-breaking change which fixes an issue)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to change)

Checklist

• My code follows the code style of this project
• My change requires a change to the documentation
• I have updated the documentation accordingly
• I have read the README document
• I have added tests to cover my changes
• All new and existing tests passed

License

• I confirm that this pull request can be released under the Apache 2 license