unit Unit1;

interface

uses
  Winapi.Windows, Winapi.Messages, Winapi.ActiveX, System.SysUtils, System.Variants, System.Classes, Vcl.Graphics,
  Vcl.Controls, Vcl.Forms, Vcl.Dialogs, System.Win.ComObj, Vcl.StdCtrls;

const
  CLSID_Test: TGUID = '{FEEFE310-8A59-46C6-8704-7256A3C2FB42}';

type
  ITest = interface(IUnknown)
    ['{CB201791-8BF5-4ACA-B57F-88731E6C3D4D}']
    procedure Test; safecall;
  end;

  TTest = class(TComObject, ITest)
  private
    procedure Test; safecall;
  end;

  TForm2 = class(TForm)
    Button1: TButton;
    procedure Button1Click(Sender: TObject);
  private
    { Private declarations }
  public
    { Public declarations }
  end;

var
  Form2: TForm2;

implementation

{$R *.dfm}

uses
  System.Win.ComServ;

procedure TForm2.Button1Click(Sender: TObject);
begin
  TThread.CreateAnonymousThread(
    procedure
    begin
      CoInitializeEx(nil, COINIT_MULTITHREADED);
      try
        var A := CreateComObject(CLSID_Test);
        var B := A as ITest; // 'Interface not supported'
        B.Test();
      finally
        CoUninitialize();
      end;
    end
  ).Start();
end;

{ TTest }

procedure TTest.Test;
begin

end;

initialization
  var X := TComObjectFactory.Create(ComServer, TTest, CLSID_Test,
    'Test', 'Test', ciMultiInstance, tmApartment);
  X.RegisterClassObject();

end.

function CoGetApartmentType(out pAptType: TAPTTYPE; out pAptQualifier: TAPTTYPEQUALIFIER): HRESULT; stdcall; external 'Ole32.dll';

// В секции инициализации почему-то не помогло...
CoInitFlags := COINIT_MULTITHREADED;

constructor TApplication.Create(AOwner: TComponent);
.....
if not IsLibrary then
    FNeedToUninitialize := Succeeded(OleInitialize(nil));

var
  X: TComObjectFactory;

initialization
  X := TComObjectFactory.Create(ComServer, TTest, CLSID_Test,
    'Test', 'Test', TClassInstancing.ciMultiInstance, TThreadingModel.tmFree/tmBoth/tmNeutral);
  X.RegisterClassObject();

function TComObjectFactory.CreateInstance(const UnkOuter: IUnknown;
  const IID: TGUID; out Obj): HResult;

uses
  System.Win.ComServ;

procedure TForm2.Button1Click(Sender: TObject);
begin
  TThread.CreateAnonymousThread(
    procedure
    begin // код здесь - это имитация клиента
      CoInitializeEx(nil, COINIT_MULTITHREADED);
      try
        var A: IUnknown := CreateComObject(CLSID_Test);
        var B: ITest := A as ITest; // 'Interface not supported'
        B.Test();
      finally
        CoUninitialize();
      end;
    end
  ).Start();
end;

initialization
  var X := TComObjectFactory.Create(ComServer, TTest, CLSID_Test,
    'Test', 'Test', TClassInstancing.ciMultiInstance, TThreadingModel.tmFree);
  X.RegisterClassObject();

end.