Ensure periodic callbacks are only started on main thread

[philippjfr]

Fixes #4010

[codecov]

Codecov Report

Merging #4011 (5ca16b7) into master (00a4f30) will decrease coverage by 0.02%.
The diff coverage is 88.88%.

@@            Coverage Diff             @@
##           master    #4011      +/-   ##
==========================================
- Coverage   83.67%   83.65%   -0.03%     
==========================================
  Files         223      223              
  Lines       33130    33129       -1     
==========================================
- Hits        27723    27714       -9     
- Misses       5407     5415       +8     

Flag	Coverage Δ
ui-tests	37.58% <66.66%> (+<0.01%)	⬆️
unitexamples-tests	74.68% <88.88%> (-0.02%)	⬇️

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Impacted Files	Coverage Δ
panel/io/callbacks.py	78.83% <66.66%> (-0.43%)	⬇️
panel/io/state.py	69.87% <100.00%> (+0.73%)	⬆️
panel/io/django.py	11.32% <0.00%> (-18.87%)	⬇️
panel/tests/util.py	89.32% <0.00%> (-1.95%)	⬇️

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