Look Multithreaded Delphi Database Queries
I know ADO is COM Object. So, it need CoInitialize / CoUninitialize if development Multithread project.
Is DbxOdbc need add CoInitialize / CoUninitialize for Multithreaded development?
It depends on the ODBC driver. If the driver needs access to the COM, and then he has to initialize it. Usually ODBC driver does not use COM. If your ODBC driver requires the initialization of COM, it must be described in its documentation, as it does not meet the standard ODBC API.