An issues-set-diff can be created through ExtensionMethodsIssue.CreateIssuesSetDiff or ComputeIssuesDiff(IAnalysisResult,ICompareContext).
An issues-set-diff gets filled through methods of IIssuesSetDiffBuilder available through Builder.
An issues-set-diff is not thread-safe. It is safe to call IIssuesSetDiff read-only methods concurrently from several threads but it is not safe to call these methods and IIssuesSetBuilder methods concurrently from several threads, this would provoke corrupted state and exceptions.
When an IIssuesSetDiff object compares two IIssuesSet objects, the IIssuesSet objects are not modified nor aware they are compared. As a consequence an IIssuesSet object can be compared in several IIssuesSetDiff object.

Reference

IIssuesSetDiff Members
NDepend.Issue Namespace