CsWin32 has a number of issues and shortcomings (not always their fault), especially with AOT publishing, for example: How can I implement COM interface imported with cswin32 without Marshaling for AOT? or CsWin32 is effectively unusable with trim/AOT

So you must redeclare the INetworkListManagerEvents interface as the generated one is not marked with the needed [GeneratedComClass] attribute. At lest you can use Cs/Win32 as an example you can copy.

Here is some sample code that should work, <rant> it's unfortunately an inconsistent mixture of structs, interfaces, raw pointers, IntPtr, etc </rant>:

using System;
using System.Runtime.InteropServices;
using System.Runtime.InteropServices.Marshalling;
using Windows.Win32;
using Windows.Win32.Networking.NetworkListManager;
using Windows.Win32.System.Com;

namespace ConsoleApp;

internal class Program
{
    unsafe static void Main()
    {
        // get the IConnectionPoint for INetworkListManagerEvents
        PInvoke.CoCreateInstance<INetworkListManager>(typeof(NetworkListManager).GUID, null, CLSCTX.CLSCTX_ALL, out var mgr).ThrowOnFailure();
        mgr->QueryInterface<IConnectionPointContainer>(out var container).ThrowOnFailure();
        IConnectionPoint* cp;
        container->FindConnectionPoint(typeof(INetworkListManagerEvents).GUID, &cp);

        // Create an instance of the event handler
        var events = new Events();

        // create an IUnknown pointer for the event handler
        var wrappers = new StrategyBasedComWrappers();
        var unk = wrappers.GetOrCreateComInterfaceForObject(events, CreateComInterfaceFlags.None);

        cp->Advise((IUnknown*)unk, out var cookie);
        Console.WriteLine("Waiting... press ENTER to stop.");
        Console.ReadLine();

        cp->Unadvise(cookie);
        cp->Release();
    }
}

[GeneratedComClass]
public partial class Events : INetworkListManagerEvents
{
    void INetworkListManagerEvents.ConnectivityChanged(NLM_CONNECTIVITY newConnectivity)
    {
        Console.WriteLine($"Connectivity changed: {newConnectivity}");
    }
}

public enum NLM_CONNECTIVITY
{
    NLM_CONNECTIVITY_DISCONNECTED = 0,
    NLM_CONNECTIVITY_IPV4_NOTRAFFIC = 1,
    NLM_CONNECTIVITY_IPV6_NOTRAFFIC = 2,
    NLM_CONNECTIVITY_IPV4_SUBNET = 16,
    NLM_CONNECTIVITY_IPV4_LOCALNETWORK = 32,
    NLM_CONNECTIVITY_IPV4_INTERNET = 64,
    NLM_CONNECTIVITY_IPV6_SUBNET = 256,
    NLM_CONNECTIVITY_IPV6_LOCALNETWORK = 512,
    NLM_CONNECTIVITY_IPV6_INTERNET = 1024,
}

[GeneratedComInterface, Guid("dcb00001-570f-4a9b-8d69-199fdba5723b")]
public partial interface INetworkListManagerEvents
{
    void ConnectivityChanged(NLM_CONNECTIVITY newConnectivity);
}

Note you cannot even reuse the NLM_CONNECTIVITY enum because the ComWrapper Source Generator doesn't want to use it either, you must redeclare it too.

NativeMethods.txt:

CoCreateInstance
IConnectionPointContainer
INetworkListManager
NetworkListManager

NativeMethods.json:

{
  "$schema": "https://aka.ms/CsWin32.schema.json",
  "allowMarshaling": false
}

.csproj:

<Project Sdk="Microsoft.NET.Sdk">

    <PropertyGroup>
        <OutputType>Exe</OutputType>
        <TargetFramework>net9.0-windows10.0.26100.0</TargetFramework>
        <Nullable>enable</Nullable>
        <AllowUnsafeBlocks>True</AllowUnsafeBlocks>
        <PublishAot>true</PublishAot>
        <DisableRuntimeMarshalling>true</DisableRuntimeMarshalling>
    </PropertyGroup>

    <ItemGroup>
        <PackageReference Include="Microsoft.Windows.CsWin32" Version="0.3.183">
            <PrivateAssets>all</PrivateAssets>
        </PackageReference>
    </ItemGroup>

</Project>