Which version of Thinpp are you using? If it's not 4.7.3, then can you please try with it. Also, if it doesn't work with 4.7.3, can you try older versions and see if this ever worked.
Take a look at this community thread http://communities.vmware.com/message/1530227#1530227 , it seems like, that at some point Steam did work ThinApped (if you look at point 1 in the problem description, seems like ThinApped Steam launched well and then TF2 was installed, so that points to the fact that Steam was working without the error that you see at launch). So may be testing with some older ThinApp versions might throw some light on this.
Thanks.