I see, I read the docs slightly too quickly. Still, though, I would have expected a conspicuous warning about exceptions in those calls, because MS is in on C++

I see, I read the docs slightly too quickly. Still, though, I would have expected a conspicuous warning about exceptions in those calls, because MS is in on C++ (so they can't hide behind "but we expected only C") and apparently(?) the APC machinery doesn't catch and block exceptions in user code.