At least the windows implementation of juce_setThreadPriority can fail (if SetPriority fails). See http://msdn.microsoft.com/en-us/library/ms686277(VS.85).aspx.
Would you consider checking the return value of SetPriority in juce_setThreadPriority and changing the return type to bool to indicate success/failure, and then continuing up the chain to return that info from Thread::setPriority and ThreadPool::setThreadPriorities.
Thanks.
-DB