It avoids problems when other libraries raise exceptions. In particular,
OutputDebugString raises an exception that the debugger is supposed to
catch and suppress. VEH kicks in first right now, and that is entirely
incorrect.
Unfortunately, GCC does not support SEH, so I've kept the old buggy VEH
codepath around. We could fix it with SetUnhandledExceptionFilter, but
that is not per-thread, so a well-behaved library shouldn't set it.