Could you give a bullet list of practical differences/implication? I read relevant MSDN article, but my understanding asynchronous exceptions is still a bit hazy.
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Well, without /EHa you can't catch unexpected exceptions so your test program will exit abnormally.
If the test can be made for abnormal exit it'd be better not wrestle with /EHa.
Moreover, changing option to /EHa incur many side effects including increase in executable size and little performance drop. So effectively changes original behavior.
To use or not to use /EHa is a big decision usually made at program design stage.
IMHO, problems at test case writing are rather insignificant to change this decision.