Python: sessions: Design orthogonal ChatMessageStore for service vs local threads

[eavanvalkenburg]

Figure out if we need the always-available ability to use ChatMessageStore and make it orthogonal to service vs local threads. Consider if we should force users to handle this themselves when using service threads.

File: python/packages/core/agent_framework/_threads.py
Location: Line ~314

Action: Design decision needed on ChatMessageStore handling for different thread types.

Parent issue: #3575