I looked at this some more (I'm not super familiar with the use of
manifests) and I think I figured it out.  For somewhat complicated
reasons, I'm compiling with /MT rather than /MD.  Although link normally
produces a manifest, since it's unnecessary when compiling static, it
isn't created unless you specify /MANIFEST.

So I suppose the issue is that distutils is trying to embed the manifest
in cases where it may legitimately not exist.  Since /MT is not the
default (I had to make that change explicitly), this is probably not a bug.