This was done to ensure that this code only runs when the thinker itself is fully set up.
With a constructor there is no control about such things, if some common initialization needs to be done it has to be in the base constructor, but that makes the entire approach chosen here to ensure proper linking into the thinker chains impossible.
ZDoom originally did it that way, which resulted in a very inflexible system and required some awful hacks to let the serializer work with it - the corresponding bSerialOverride flag is now gone.
The only thinker class still having a constructor is DFraggleThinker, because it contains non-serializable data that needs to be initialized in a piece of code that always runs, regardless of whether the object is created explicitly or from a savegame.
This was done to ensure it can be properly overridden in scripts without causing problems when called during engine shutdown for the type and symbol objects the VM needs to work and to have the scripted version always run first.
Since the scripted OnDestroy method never calls the native version - the native one is run after the scripted one - this can be simply skipped over during shutdown.
Needless to say, this is simply too volatile and would require constant active maintenance, not to mention a huge amount of work up front to get going.
It also hid a nasty problem with the Destroy method. Due to the way the garbage collector works, Destroy cannot be exposed to scripts as-is. It may be called from scripts but it may not be overridden from scripts because the garbage collector can call this function after all data needed for calling a scripted override has already been destroyed because if that data is also being collected there is no guarantee that proper order of destruction is observed. So for now Destroy is just a normal native method to scripted classes
