Events are pointers to functions (just like we used to have in C++). When you use plain vanilla .NET event you're actually calling the functions that are connected using += to that event. So from 20,000 feet your code actually calls some other code just like calling another function. This is why it's called synchronously and in the same thread.
When inside WinForms/WPF control we also have a message loop to consider: All events that occurs within the context of the form adds a message to the message loop instead of calling a method directly.
The main thread of the control polls that loop for new messages and when a new message appears he executes it (again in the main thread) only now it's not exactly synchronous.
This is ththe reason that if a form is busy doing something and you press a button it takes some time before that button is pressed. this is also the reason that if you invalidate a control it's appearance is only changed after you exit the running method (and the next message is processed).