I think it is just a normal behavior from a program like Kaspersky, that is it detects that a process is trying to inject a dll into another process, it would raise an alarm and won't let it run, thinking that it's a virus-like activity.
I think there is nothing much that can be done from ThinApp's side in this case, but soemthing must be possible from Kaspersky's end. I think there might be list of processes (kind of a white list) maintained by Kaspersky, and Kaspersky would allow these processes to do these kind of things, and probably you can add the ThinApped processes to that list. Hopefully that should resolve the issue.
I found another link (http://www.onkarjoshi.com/blog/121/kaspersky-ate-my-jconsole/) that talks about a setting for “Intrusion into process” under Proactive Defense settings, whose value should be changed to “Ask user” from “Quarantine”.
HTH.