I doubt there's anything more we can do about Windows swallowing an access violation and turning it into a generic error. There's a very low chance you'd have found any notes about it in the docs, so this bug will probably stand as the best available reference for future.

We also can't really add more checks for every method that assumes the GIL is held, because that will hurt runtime performance for everyone. And I doubt even debug checks would help here - DLL load is pretty well protected, and there's really nothing but a debugger that can diagnose issues anyway. 

I've pushed back in the past on adding a "how to debug apps on Windows" section to our docs, because it is such a huge topic that we can't possibly cover well enough to be useful in all the cases that come up.

"Don't use functions that require the GIL without holding the GIL" is already documented generally enough. So I'm glad we got this figured out, but I'm not sure there's anything we can fix long-term to prevent it (other than entirely replacing the C API ;) ).