After some testing, I found a solution that works. If you notice any issues or have suggestions for improvement, please let me know.

unit Unit1;

interface

uses
  Winapi.Windows, Winapi.Messages, System.SysUtils, System.Variants, System.Classes, Vcl.Graphics,
  Vcl.Controls, Vcl.Forms, Vcl.Dialogs, Vcl.StdCtrls, System.Threading,
  System.SyncObjs, System.Generics.Collections, System.Diagnostics;

type
  TForm1 = class(TForm)
    Memo1: TMemo;
    Button1: TButton;
    procedure Button1Click(Sender: TObject);
  private
    { Private declarations }
    fTerminate : Boolean;
  public
    { Public declarations }
  end;

  function ProcessTask(const TaskId: Integer): TProc;

var
  Form1: TForm1;
  MyThreadPool: TThreadPool;
  I: Integer;
  Tasks: TArray<ITask>;

implementation

{$R *.dfm}

function ProcessTask(const TaskId: Integer): TProc;
begin
  Result := procedure
  var
    lThreadId : TThreadId;
  Begin

    if Form1.fTerminate then
    Begin
      TThread.Queue(
        TThread.Current,
        procedure
        Begin
          Form1.Memo1.lines.add(Format('Skiping TaskId: %d ThreadId: %s',[TaskId, lThreadId.ToString]));
        End
      );
      exit;
    End;

    try

      lThreadId := TThread.Current.ThreadId;
      TThread.Queue(
        TThread.Current,
        procedure
        Begin
          Form1.Memo1.lines.add(Format('Started TaskId: %d ThreadId: %s',[TaskId, lThreadId.ToString]));
        End
      );

      { Raise exception }
      if TaskId=7 then
      Begin
        Form1.fTerminate := True;
        exit;
      End;

      Sleep(2000);  // Simulate work

      TThread.Queue(
        TThread.Current,
        procedure
        Begin
          Form1.Memo1.Lines.Add(Format('TaskId %d completed. ThreadId: %s.',[TaskId, lThreadId.ToString]));

        End
      );

    except
      On E:Exception do
        Form1.fTerminate := True;
    end;

  End;
end;


procedure TForm1.Button1Click(Sender: TObject);
begin
  fTerminate := False;
  MyThreadPool := TThreadPool.Create;

  try
    MyThreadPool.SetMaxWorkerThreads(1);
    MyThreadPool.SetMinWorkerThreads(1);

    // Hold 10 tasks
    SetLength(Tasks,10);

    for I := 0 to High(Tasks) do
    Begin
      if form1.fTerminate then
        break;
      sleep(2000);
      Tasks[I] := TTask.Create(
        ProcessTask(I+1),
        MyThreadPool
      );

      // Start the task
      Tasks[I].Start;

    End;

    for I := 0 to High(Tasks) do
        Tasks[I].Wait;

    finally
      Form1.Memo1.Lines.Add(Format('All tasks completed.');
      MyThreadPool.Free;
    end;

end;

end.