Best practices packaging with ThinApp includes verifying nothing is being left running, locking the Sandbox, when the end-user shuts down the application. A simple method to verify nothing is running in the background is to try to delete the package’s Sandbox. If it is locked and you cannot delete it, something is still running.
To find out what it is I always use Sysinternals Process Explorer. This video will show you how to use Process Monitor to find out what is keeping the Sandbox opened.