Thks. I will test this. Your explanation looks logical. I will follow up after testing.
Edit after testing: Still not work 100%. However, I certainly catch the Ctrl+C keypress and enter the HandleSigInt procedure. Then it hangs on Application.Terminate statement. Replacing with a Halt() function do terminate, but the finally statement isn't reached then, naturally. It looks like I have to move sigint functionality into the THtppApplication class through a user defined inherited class.
Anyway, thks a lot for the help, Чебурашка. I will explore more, and when I found a way update this thread.