C++Builder 10.2 BCC32 can not write lambda. 
So write an implementation in Invoke() with TCppInterfacedObject<>.

struct T_thread_proc :  TCppInterfacedObject<TProc>{
    TNotifyEvent f_ev_;
    struct T_sync_proc :  TCppInterfacedObject<TThreadProcedure>{
        TNotifyEvent f_ev_;
        T_sync_proc(TNotifyEvent& ev2){ f_ev_ = ev2; }
        virtual void __fastcall Invoke() {
            //Inside Synchronize.
            f_ev_(NULL//Execute "TNotifyEvent".
        }
    };
    T_thread_proc(TNotifyEvent ev1){f_ev_ = ev1; }
    virtual void __fastcall Invoke() {
        //Write thread execution code here.
        Sleep(3000//example
        //Finally call Synchronize.
        TThread::Synchronize(
            TThread::CurrentThread,_di_TThreadProcedure(new T_sync_proc(f_ev_)));
    }
};

Event prepared for calling with TThread::Synchronize().

void __fastcall TForm1::do_thread_event(TObject *Sender)
{
    Button1->Enabled    = truefalsefalse"End CreateAnonymousThread"
Call TThread::CreateAnonymousThread() with a TButton event.
Place the TButton and TActivityIndicator
void __fastcall TForm1::Button1Click(TObject *Sender)
{
    TThread::CreateAnonymousThread(_di_TProc( new T_thread_proc(&do_thread_event)))->Start();
    Caption = "Started CreateAnonymousThread"truetruefalse
Build execution.
When you click the Button1, until the thread is finished "ActivityIndicator1->Animate = true";