Ilya Kulakov <kulakov.i...@gmail.com> added the comment:

Steve, the difficulty with SetUnhandledExceptionFilter is that it can replace 
filter installed by the user (e.g. one of loaded libraries).

The information about AddVectoredContinueHandler is scarce, but according to 
what I found at [1]:

If the exception is still not handled after all your frame based SEH handlers 
are called, vectored continue handler will be called. This gives you the last 
opportunity to handle the exception in a way you want.

1: 
https://blogs.msdn.microsoft.com/zhanli/2010/06/24/c-tips-addvectoredexceptionhandler-addvectoredcontinuehandler-and-setunhandledexceptionfilter/

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<https://bugs.python.org/issue31701>
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