The TDictionary.Keys property uses a singleton, so no matter how many times you read the Keys property itself, there will only be 1 TKeyCollection object in memory. However, every time you call ToArray() on that collection, it will allocate a new array in memory and populate it with the current keys. Dynamic arrays are reference counted, so every assignment to the local tdictkeys variable will decrement the refcount of the old array, freeing it, and increment the refcount of the new array. When the method exits, the refcount of the last array allocated is decremented, freeing it.
If the dictionary is continuously growing in count, then the loop above will allocate larger and larger arrays accordingly, , where a new array is allocated before the previous array is freed. So yes, that has the potential to cause an OOM error over time, depending on just how large the dictionary actually grows.
At the assembly level, yes. But if the binary has external dependencies on DLLs/APIs that don't exist on the machine (and modern versions of Delphi's RTL do use APIs that don't exist in Win2K), then the binary will not be loaded by the OS and will not be allowed to run any of its code.