Why do we have to use new Thread(task).start(); instead of just task.start() ?

Because TestThread do not inherit from Thread.

public class Solution {

    public static class TestThread extends Thread
        public void run(){
            System.out.println("My first thread");
        }
    }

    public static void main(String[] args) {
        TestThread task = new TestThread();
        //new Thread(task).start();
        task.start();
    }
}

In this case you can write task.start();