I'm in the process of capturing IE8 much like you are. I experienced the issue that you are reporting after following this KB: VMware KB: Virtualizing Internet Explorer 7 or 8 with ThinApp
I followed Peter's blow, that you've included in your post and found that adding ieshims.dll (version 8.0.7601.17514) to %ProgramFilesDir%\Internet Explorer, jsproxy.dll (version 8.0.7600.16385) to %systemsystem%, like Peter's blog mentions, and then rebuilding the issue is resolved. My capture system is XP SP3.
I would confirm that the ieshims.dll and jsproxy.dll are correct in your capture folder. There may be some benefit to clear %appdata%\Thinstall directory on the client on which you are launching the Thinapp.