running the test client using HTTP transport leads to "CoInitialize not called"

Trying to use the test client with HTTP transport ends in an error that the COM lbraries were not properly intialized (the Delphi HTTP client uses MSXML).

Furthermore, since there are a lot of OS resources in Windows that are thread-sensitive, the whole protocol and transport stack setup should be executed inside the test threads, instead of trying to executing that part in the UI thread.

The latter also eliminates the need to call Synchronize to free the transport instance in the creating UI thread.