Thread.FreeOnTerminate := True, memory leak and ghost running
Indeed, the OS reclaims all a process's memory when it terminates, so even if those 68 bytes refer to the non-freed thread object, the OS is going to take those bytes back anyway. It doesn't really matter whether you've freed the object at that point.
When your main program finishes, it eventually reaches a place where it calls ExitProcess. (You should be able to turn on debug DCUs in your project's linker options and step through to that point with the debugger.) That API call does several things, including terminating all other threads. The threads are not notified that they're terminating, so the cleanup code provided by TThread never runs. The OS thread simply ceases to exist.