OK, more info is available here on SAFESEH: http://msdn.microsoft.com/en-us/library/9a89h429(v=vs.110).aspx
@HansPassant above pointed out that he couldn't repro, which sent me searching. I had been using the version installed with the ancient HTML Help workshop (ca 1999), and have now linked with the one from the windows SDK C:\Program Files\Microsoft SDKs\Windows\v7.1A which is a bit more modern, and doesn't show the problem.