I think I have a beginning of an explanation:
libssl.dll implements a DllMain function, whose DLL_THREAD_DETACH event 
calls ERR_remove_state. 
At this time, the (posix) thread function has already exited; 
pthread::exit() was already called the pthread object has been deleted.

And the same (win32) thread will call sem_wait()... and maybe access 
freed resources.

Linking against the static library does not have this problem.