**What does this PR do?**

This PR sets the name of the thread started by the
`Datadog::Core::Remote::Worker` class (to be the name of the class).

This follows the same pattern we use for other dd-trace-rb internal
threads.

**Motivation:**

The profiler shows thread names in multiple places, and nameless
threads make it harder to see the data in several cases, so as much
as possible we want to avoid them.

One particular case is that for the timeline feature, we collapse
all dd-trace-rb threads by default, but that collapsing feature
relies on thread names, and so the remote worker thread was not
being properly collapsed (which is how I spotted it).

**Additional Notes:**

I've chosen to still include the Ruby 2.2/2.1 support because I plan
to backport this to the 1.x branch.

**How to test the change?**

This change includes test coverage. You can also enable the profiler
and check that when looking at thread names (right sidebar in
single and aggregated profiles; left side for timeline) you will
see the thread for this class properly named.