Finally I found the problem and the solution!!
The problem was that "Internet Explorer 8" was installed in the host machine. Uninstalling it solves the problem, and you get no more svchost.exe children for ThinApp applications.
You can replicate this problem installing IExplorer 8 in a clean VM with Windows XP and running some ThinApp packages such as Adobe Acrobat, firefox, etc.
I don't know if this happens with other versions of Windows or IExplorer, but it was driving me nuts.