You need to deploy the libeay32.dll and ssleay32.dll with your client application as well.
A quote from my Delphi XE DataSnap Development courseware manual:
"If you deploy the DataSnap standalone server, using TCP/IP and the RSA and PC1 filters, then you must also deploy two Indy specific SSL DLLs: libeay32.dll and ssleay32.dll – or make sure they already exist at the server machine. These DLLs are needed for the RSA filter (which encrypts the password used by the PC1 filter). Without these two DLLs, any client who wants to connect to the server will get an “Connection Closed Gracefully” message, because the server was unable to load the two DLLs to start the RSA filter to encrypt the PC1 keys, etc.
By the way, the same two DLLs will be required for any DataSnap client, whether connected to the TCP/IP server using the RSA and PC1 filters, or whether connected to the ISAPI filter using HTTPS."
Groetjes, Bob Swart