Delphi thread exception mechanism

I have a dilemma on how threads work in delphi, and why at a moment when a thread should raise an exception, the exception is not showed. bellow is the code with comments, maybe somebody cand explain to me how that thread, or delphi, is managing access violations

//thread code

unit Unit2;

interface

uses
  Classes,
  Dialogs,
  SysUtils,
  StdCtrls;

type
  TTest = class(TThread)
  private
  protected
    j: Integer;
    procedure Execute; override;
    procedure setNr;
  public
    aBtn: tbutton;
  end;

implementation


{ TTest }

procedure TTest.Execute;
var
  i                 : Integer;
  a                 : TStringList;
begin
 // make severals operations only for having something to do
  j := 0;
  for i := 0 to 100000000 do
    j := j + 1;
  for i := 0 to 100000000 do
    j := j + 1;
  for i := 0 to 100000000 do
    j := j + 1;
  for i := 0 to 100000000 do
    j := j + 1;
  for i := 0 to 100000000 do
    j := j + 1;
  for i := 0 to 100000000 do
    j := j + 1;
  for i := 0 to 100000000 do
    j := j + 1;
  for i := 0 to 100000000 do
    j := j + 1;

  Synchronize(setnr);
  a[2] := 'dbwdbkbckbk'; //this should raise an AV!!!!!!

end;

procedure TTest.setNr;
begin
  aBtn.Caption := IntToStr(j)
end;

end.

project's code

unit Unit1;

interface

uses
  Windows, Messages, SysUtils, Variants, Classes, Graphics, Controls, Forms,
  Dialogs,
  Unit2, StdCtrls;

type
  TForm1 = class(TForm)
    Button1: TButton;
    procedure Button1Click(Sender: TObject);
    procedure FormCreate(Sender: TObject);
  private
  public
    nrthd:Integer;
    acrit:TRTLCriticalSection;
    procedure bla();
    procedure bla1();
    function bla2():boolean;
    procedure onterm(Sender:TObject);
  end;

var
  Form1: TForm1;

implementation

{$R *.dfm}

procedure TForm1.bla;
begin
 try
  bla1;
 except on e:Exception do
   ShowMessage('bla '+e.Message);
 end;
end;

procedure TForm1.bla1;
begin
 try
  bla2
 except on e:Exception do
   ShowMessage('bla1 '+e.Message);
 end;
end;

function TForm1.bla2: boolean;
var ath:TTest;
begin
 try
  ath:=TTest.Create(true);
   InterlockedIncrement(nrthd);
  ath.FreeOnTerminate:=True;
  ath.aBtn:=Button1;
  ath.OnTerminate:=onterm; 
   ath.Resume;
 except on e:Exception do
  ShowMessage('bla2 '+e.Message);
 end;
end;

procedure TForm1.Button1Click(Sender: TObject);

begin
//
 try
   bla;
   while nrthd>0 do
    Application.ProcessMessages;
 except on e:Exception do
  ShowMessage('Button1Click '+e.Message);
 end;
 ShowMessage('done with this');
end;

procedure TForm1.FormCreate(Sender: TObject);
begin
 nrthd:=0;
end;

procedure TForm1.onterm(Sender: TObject);
begin
 InterlockedDecrement(nrthd)
end;

end.

the purpose of this application is only to know where the access violation is catched, and how the code should be written.
I can not understand why in the line "a[2] := 'dbwdbkbckbk';" the AV is not raised.