Doing things in OnCloseQuery is executing them in the same thread as you would as in finalization. I don’t think you achieve anything by doing things in OnCloseQuery versus in “finalization after making sure that views have stopped by Application.MainWindow.Container.View := nil”.
And since OnCloseQuery is not going to run always when window is closed by explicit Window.Close ( Where to intercept closing application? - #3 by michalis ), it’s still not the best place to make “cleanup that must be executed always” 
I realize that things are difficult when using threads, and client/server, but this doesn’t change the above recommendation.
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If you have threads, you must cleanup the data correctly.
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If you client/server in threads, you may need to also wait for those threads.
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I realize it’s not easy (and why Indy can make either memory leaks or crashes, as documented in 3.4. Note: There are known memory leaks when using Indy).
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Still, if you want to make a “cleanup that always executes”, doing it in
Stopof the view is what I recommend. This is our equivalent ofOnBeforeClosecallback that you mention.And then if you need to do some “global cleanup” in some
finalization, that depends that views are stopped, do it after callingApplication.MainWindow.Container.View := nil– as this makes sure that all views are stopped. This will work regardless of how the window got closed (by Alt+F4, byWindow.Close, byApplication.Terminateetc.).