> Would it be safe to close the handle just after PyThread_start_new_thread() 
> success?

We already close the handle in PyThread_start_new_thread() in Python/thread_nt.h:

    if (hThread == 0) {
        // ...
    }
    else {
        dprintf(("%lu: PyThread_start_new_thread succeeded: %p\n",
                 PyThread_get_thread_ident(), (void*)hThread));
        CloseHandle(hThread);
    }