try-catch(...)____finally

bool TForm1::CheckShararam(void) {
    TIdTCPClient* TCP = new TIdTCPClient(NULL);
    try {
        try {
            TCP->Host = "*site.com";
            TCP->Port = 80;
            TCP->ConnectTimeout = 1000;
            TCP->Connect();
            return TCP->Connected();
        }
        catch (...) {
            ShowMessage("catch");
            return false;
        }
    }
    __finally {
        delete TCP;
        ShowMessage("finally");
    }
}