FreeAndNil(Thread);
inherited;

FreeAndNil(Thread)

unit uEvntWitThrd;

interface

uses
  Windows, Classes, Messages, SysUtils, Forms, StrUtils;

type
  TEventWaitThread = class(TThread)
  private
    FWindow: HWND;
  protected
    procedure Execute; override;

  public
    constructor Create(const AWindow: HWND); reintroduce;
  end;
var
CommandEvent: THandle;
...
Thread: TThread;
...
  procedure InitEvent;
  procedure FreeEvent;

implementation

procedure InitEvent;
var
  Param: string;
  BytesWritten: DWORD;
begin
  // Пытаемся 
 ...
      CommandEvent := OpenEvent(EVENT_MODIFY_STATE, False, EventName);
      SetEvent(CommandEvent);
      // Закрываем все дескрипторы
      CloseHandle(CommandEvent);
...
    end;

    ExitProcess(0);
  end;

    // Создаём событие для сигнализирования о поступлении данных
  CommandEvent := CreateEvent(nil, False, False, EventName);
end;

procedure FreeEvent;
begin
  Thread.Terminate;

  CommandEvent := OpenEvent(EVENT_MODIFY_STATE, False, EventName);
  SetEvent(CommandEvent);

  // Закрываем все дескрипторы
  CloseHandle(CommandEvent);
  CloseHandle(ClientMailslotHandle);
end;
{ TEventWaitThread }

constructor TEventWaitThread.Create(const AWindow: HWND);
begin
  inherited Create(False);

  FreeOnTerminate := True;

  FWindow := AWindow;
end;

procedure TEventWaitThread.Execute;
begin
  while not Terminated do
  begin
    if WaitForSingleObject(CommandEvent, INFINITE) <> WAIT_OBJECT_0 then
      Exit;

    if Terminated then
      Exit;

    PostMessage(FWindow, WM_COMMANDARRIVED, 0, 0);
  end;
end;

end.

An unexpected memory leak has occurred. the unexpected small block leaks are:
69 - 76 bytes: TEventWaitThread x 1

An unexpected memory leak has occurred. the unexpected small block leaks are:
69 - 76 bytes: TEventWaitThread x 1

TFormMain.FormDestroy 

FreeAndNil(Thread);

FreeAndNil(Thread);