The User Profile Hive Cleanup service helps to ensure user sessions are completely terminated when a user logs off. System processes and applications occasionally maintain connections to registry keys in the user profile after a user logs off. In those cases the user session is prevented from completely ending. This can result in problems when using Roaming User Profiles in a server environment or when using locked profiles as implemented through the Shared Computer Toolkit for Windows XP.
That event is just letting you know that it's doing it's job.