Про "таски"

FRunningTaskCount: integer;

FRunningTaskCount := length(tasks);

TThread.Synchronize(nil, procedure begin
  dec(FRunningTaskCount);
  if FRunningTaskCount = 0 then
   showMessage('Мы всё, босс!');
end);

TForm1 = class(TForm)
....
FUrlList : TStringList;
end;
 
...
FUrlList := TStringList.Create;
FUrlList.Add(Url1);
FUrlList.Add(Url2);
FUrlList.Add(Url3);
setlength(tasks, FUrlList.count);
 
for i := 0 to FUrlList.count - 1 do
begin
  task := TTask.Create(procedure()
            .....
            begin
                 http := THttpClient.Create;
                 res := http.Get(FUrlList[i]);
                 ..........
            end)
  tasks[i] := task;
end;
 
TTask.Start(tasks);