I have decided to go with the hypothesis from the previous post: the subdirectory structure and how targets are built and linked to dependencies somehow affects exception handling. Additionally, I have found a solution that is satisfying to me, so I’ll believe this until proven incorrect (or: until I will be forced to investigate again due to different error; or until I spend more time on Windows-based platforms).
The solution I have chosen was to: limit zlib use to one internal archive format library, link it statically there, make the library shared. This seems to work for the library, its built-in utility, and any user target that may or may not link against d3dx9.