The framework creates threads to support each window you create, eg, as when you create a Form and .Show() it. When the windows close, the threads are terminated (ie, they exit).
This is normal behavior. However, if the application is creating threads, and there are a lot of thread exit messages corresponding to these threads (one could tell possibly by the thread's names, by giving them distinct names in the app), then perhaps this is indicative of a problem with the app creating threads when it shouldn't, due to a program logic error.
It would be an interesting followup to have the original poster let us know what s/he discovered regarding the problems with the server crashing. I have a feeling it wouldn't have anything to do with this... but it's hard to tell from the information posted.