The .NET/Java agent is not a separate process and therefore there's nothing to 'pin' to a core. If you want to pin something, you'll need to pin the JVM itself (or CLR), but I think a bigger question is what are they trying to accomplish? My concern is that there's a misunderstanding of how the agent works and that might be more beneficial to explain that before discussing pinning.
The WebServer agent does have a separate local process on the same machine. That is the only agent where this question even makes sense. However I think the same question gets raised, even for the WebServer agent: What problem are they trying to solve by pinning.
If they want to go down this path, there is nothing specific to our product/processes to consider here. They would need to look up the approach to set processor affinity as they would for any process. Note that they are making some dangerous assumptions about the internal workings of code that they may not well understand.