For example, I'm trying to use the System.Threading.Timer in NAV, but selecting the assembly returns empty result like shown below:
Is this by design, or do I need to do something else first before I am able to use the methods inside Threading.Timer component?
The best way to use .NET class in NAV is to lookup the assembly, where it is located, on the MSDN page for this class.
For example, in case of System.Threading.Timer, it is located in mscorlib library:
https://msdn.microsoft.com/en-us/library/system.threading.timer(v=vs.110).aspx
Assembly: mscorlib (in mscorlib.dll)