First off, Senna is bound to the soul of the Ruined King's wife, which is the reason the mist homes in on her, because the Ruined King wants his wife back. But more importantly, the Queen's soul was infused with the waters of life, just like Maokai and Yorick who manage to remain corrupted by the Mist (at least not to the extent of other SI champions). As a result, Senna too is infused with the waters of life and thus is resistant to the effects of the Mist. Ultimately, this is why she is able to appear mostly human.
In regards to Thresh, it was never stated in his old lore that he physically tortured the souls in his lantern. Also, his new bio doesn't say he never tortured any living magical artifacts, as it simply doesn't tell us how he spent his time in the vaults. Really, Thresh's big thing is, and always was, psychological torture (the worst kind of torment imo). He chooses a victim and then spends years tearing everything they ever loved away from them, while letting them know he did it and that he takes pleasure in it. Then, once they've lost all hope, he collects their soul to make them watch as he does the same thing to countless others; causing them to relive the suffering he inflicted upon them, time and time again. Thresh is just as big of a monster as he was before. Additionally, Senna likely wasn't overly tormented in his lantern, because she didn't spend enough time in it. She was in there for like six years, while everyone else has been their, or will be in there, for way longer, allowing for more time for misery to sink in.
Also, Thresh allowing Senna to remain free for now is no big deal. While he didn't intend for her to get out, its all part of his mind games. He wants to give Lucien and Senna some hope so it will be all the sweeter when he tears it away later. Tbh, if I were a sadist like him, I'd do the same thing.