Why doesn't my thread terminate?

Hi everybody,

I'm trying to learn a thing or two about threads in Delphi, so I'm 
currently messing around with some examples and trying to create a few 
simple examples myself.

My current situation is the following: I have a form which has a button, 
and an editbox. I'd like to start a thread, and update the editbox at 
fixed intervals, from within the thread. But before I even got to that 
part, something strange happened.

Here are a few procedures from my unit:

-- Here I declare the thread, and start it
procedure TMainForm.Button9Click(Sender: TObject);
var
  thread : TMessageThread;
begin
  thread := TMessageThread.Create(true);
  thread.FreeOnTerminate := True;
  thread.OnTerminate := TMessageThreadTerminate;
  thread.Execute;
end;

-- After the thread has terminated, it should say so
procedure TMainForm.TMessageThreadTerminate(Sender: TObject);
begin
  ShowMessage('Terminated');
end;

-- Override for the execute procedure.
procedure TMessageThread.Execute;
var
  i: Integer;
begin
  ShowMessage('Start');
  for i := 0 to 1000 do
  begin
    Application.ProcessMessages;
  end;
  ShowMessage('Stop');
  Terminate;
end;

Now, as soon as I click the button, a messagebox pops up (Start), 
followed by the stop messagebox a few instants later on. But I never get 
the "terminated" message!

This, I don't understand - I've specified the correct procedure (afaikt), 
and I've also tried to do a "DoTerminate" instead of a "Terminate", but 
to no avail.

Can anybody please explain to me what's going on?

Thank you very much!

PS.