Steve, the difficulty with SetUnhandledExceptionFilter is that it can replace filter installed by the user (e.g. one of loaded libraries).

The information about AddVectoredContinueHandler is scarce, but according to what I found at [1]:

If the exception is still not handled after all your frame based SEH handlers are called, vectored continue handler will be called. This gives you the last opportunity to handle the exception in a way you want.

1: https://blogs.msdn.microsoft.com/zhanli/2010/06/24/c-tips-addvectoredexceptionhandler-addvectoredcontinuehandler-and-setunhandledexceptionfilter/