Calling CloseHandle after calling SetEvent
Close the handle when all threads have finished using it. After the WaitForSingleObject sounds sensible to me (because if it succeeds, the SetEvent must have completed).
Alternatively - give each thread its own copy of the handle (eg via DuplicateHandle) and have each close their copy when they're finished. That's much harder to get wrong and requires less analysis of the code.
Calling CloseHandle after SetEvent doesn't make sense to me. You should (if required) call CloseHandle after WaitForSingleObject only.
Close event handle when you are sure that event has done its job and is not needed any more. In you case that is after you detect it has been set. So, close event handle after WaitForSingleObject unblocks.