Apparement TApplication aurait une propertir CaptureException (public) pour gérer les exceptions…. a creuser.

procedure TApplication.RunLoop;
begin
  repeat
    if CaptureExceptions then
      try // run with try..except
        HandleMessage;
      except
        HandleException(Self);
      end
    else
      HandleMessage; // run without try..except
  until Terminated;
end;

• https://lazarus-ccr.sourceforge.io/docs/lcl/forms/tapplication.html