Found - it took a long time.
The key was this part:
<add name="CustomListener" type="CustomListener, MyAssembly" initializeData=""/>
When intializationData is an empty string, it will look for the constructor with no arguments. As soon as I added a value for initializeData, then the framework found a constructor.
The error should have said "There is no constructor with 0 parameters, maybe you need to include some initializeData"
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