ReportMemoryLeaksOnShutdown:=true;

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

TFormMain.FormDestroy(Sender: TObject);
...
FreeAndNil(Thread);
inherited;

Thread := TEventWaitThread.Create(Handle);

TEventWaitThread = class(TThread) 

FreeAndNil(Thread);  и inherited;

TFormMain.FormDestroy(Sender: TObject);
...
ExitProcess(0);

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

type
  TEventWaitThread = class(TThread)

TFormMain.FormCreate(Sender: TObject);
...
Thread := TEventWaitThread.Create(Handle);

procedure [color=green]FreeEvent[/color];
begin
  [color=blue]Thread.Terminate[/color];

program ...
  if not Application.Terminated and not Thread.ExternalThread then
    [color=green]FreeEvent;[/color]
end.

...
  if not Application.Terminated and not Thread.ExternalThread then
    FreeEvent;
end.

procedure FreeEvent;
begin
  Thread.Terminate;

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

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

FreeOnTerminate := True;

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;