It actually has to do with `panic!(...)`. When you use `unwrap()`/`expect("...")`, you use the panic macro under the hood; parts of the panicking infrastructure use a boxed trait object which could contain a static string or formatted String or anything else really. The box can allocate if it is not a ZST. I believe the alloc crate's default handler tries to avoid this kind of thing, so that it can't fail to allocate AGAIN in the failure-handling routine. It will likely do a better job than you could.
This is a live issue at the moment, so to go into any more detail I'd have to read a bunch of recent Rust issues/PRs.