> Well, since thread cancellation is implemented using exceptions, and thread cancellation can happen in arbitrary places

No, thread cancelation cannot happen in arbitrary places. Or doesn't have to.

There are two kinds of cancelation: asynchronous and deferred.

POSIX provides an API to configure this for a thread, dynamically: pthread_setcanceltype.

Furthermore, cancelation can be enabled and disabled also.

  int pthread_setcancelstate(int state, int *oldstate); // PTHREAD_CANCEL_ENABLE, PTHREAD_CANCEL_DISABLE
  int pthread_setcanceltype(int type, int *oldtype);    // PTHREAD_CANCEL_DEFERRED, PTHREAD_CANCEL_ASYNCHRONOUS

Needless to say, a thread would only turn on asynchronous cancelation over some code where it is safe to do so, where it won't be caught in the middle of allocating resources, or manipulating data structures that will be in a bad state, and such.