He means it causes resource leaks in any classes that implement RAII.
I went and looked this up to refresh my memory: https://msdn.microsoft.com/en-us/library/swezty51.aspx
Microsoft recommend you don't mix the use of SEH exceptions with C++, or that you use the flag which turns SEH into C++ exceptions (and therefore calls destructors). In our case we didn't want to do that, because we're doing our own crash reporting and all we want is to log a backtrace while exiting the program, and do not want to call destructors which may themselves crash because the program is in an invalid state.