This is just a FYI incase anyone else is running Office 2010 installed on the base (without Outlook) and needs to have mail merge from locally installed Office work with Thinapped Outlook 2010.
Using Thinapp 4.7.3 and Office 2010:
Using Thinapp SDK I register Outlook which resolves the first end user issue, opening *.msg files. While the users were testing they noticed that doing any kind of mail merge or "mailto" links would cause Outlook to launch in a infinite loop (it just keeps launching Outlook Thinapp over and over again causing the VM to be unusable 
). I noticed that during the Thinapp SDK registration of Outlook that the reg key that sets the default mail program points to the Thinapp Outlook package and passes %1 ("T:\PMOSOC_Outlook-2010\Microsoft Outlook 2010.exe" "%1""). Taking out the "%1" stopped the infinite loop so its off to Google Outlook command line switches. The following is part of the Thinapp SDK script that gets mail merge from locally installed Office to a Thinapp Outlook.
Select Case strGroupName
Case "VDI_ESS_Trans_PMOSOC_Outlook"
FileName = "T:\PMOSOC_Outlook-2010\Microsoft Outlook 2010.exe"
'Set Package = TAManagement.OpenPackage(FileName)
RegisterPackage FileName, 9
'Wscript.echo Package.InventoryName & " is registered."
WshShell.RegWrite "HKCR\mailto\shell\open\command\", """T:\PMOSOC_Outlook-2010\Microsoft Outlook 2010.exe"" -c IPM.Note /m ""%1""", "REG_SZ"
End Select
So I hope this will help someone out there. 