More details;

Mixing C (structured) and C++ exceptions - https://learn.microsoft.com/en-us/cpp/cpp/mixing-c-structure...

Handle structured exceptions in C++ - https://learn.microsoft.com/en-us/cpp/cpp/exception-handling...

For even more fun, Microsoft C++ implementation of setjmp/longjmp calls dtors of lexically scoped objects properly during stack unwinding (when compiled with proper switches) - https://learn.microsoft.com/en-us/cpp/cpp/using-setjmp-longj...

Finally Important caveats from - https://learn.microsoft.com/en-us/cpp/build/reference/eh-exc...

Specifying /EHa and trying to handle all exceptions by using catch(...) can be dangerous. In most cases, asynchronous exceptions are unrecoverable and should be considered fatal. Catching them and proceeding can cause process corruption and lead to bugs that are hard to find and fix.

Even though Windows and Visual C++ support SEH, we strongly recommend that you use ISO-standard C++ exception handling (/EHsc or /EHs). It makes your code more portable and flexible. There may still be times you have to use SEH in legacy code or for particular kinds of programs. It's required in code compiled to support the common language runtime (/clr), for example. For more information, see Structured exception handling.

We recommend that you never link object files compiled using /EHa to ones compiled using /EHs or /EHsc in the same executable module. If you have to handle an asynchronous exception by using /EHa anywhere in your module, use /EHa to compile all the code in the module. You can use structured exception handling syntax in the same module as code that's compiled by using /EHs. However, you can't mix the SEH syntax with C++ try, throw, and catch in the same function.