Unfortunately, as I already pointed out earlier, the VCL's TApplication constructor calls OleInitialize() before the ComObj unit has a chance to call CoInitialize/Ex(), and OleInitialize() internally calls CoInitialize(nil), so if you require CoInitializeEx() with any mode other than COINIT_APARTMENTTHREADED then you will have to do your COM work in a separate worker thread instead of in the UI thread.
The ComObj unit is not the only unit that uses InitProc. InitProc is a chained list of initialization procedures, so you can't use Assigned(InitProc) alone as an indicator of whether you should call CoInitializeEx() or not. If you need CoInitializeEx() called, then just call it yourself unconditionally, and just be sure to pay attention to whether it fails or not. Returning S_FALSE is NOT a failure condition!
A thread cannot change its COM threading mode once it has been set. That is what the RPC_E_CHANGED_MODE error code tells you. That IS a failure condition! If you need to use a different COM threading model than the calling thread has already been set to, you will have to move your COM work to another thread that is able to be set to the desired COM model.
Typically, but not necessarily always. It really depends on each app's particular requirements.