MSDN:

When a user-mode APC is queued, the thread is not directed to call the APC function unless it is in an alertable state. After the thread is in an alertable state, the thread handles all pending APCs in first in, first out (FIFO) order, and the wait operation returns WAIT_IO_COMPLETION. A thread enters an alertable state by using SleepEx, SignalObjectAndWait, WaitForSingleObjectEx, WaitForMultipleObjectsEx, or MsgWaitForMultipleObjectsEx to perform an alertable wait operation.

Т.е. Рихтер прав.

Чтобы мир не рухнул, напиши пока-мест 2 подряд SleepEx, один с 1ms, второй с infinite.
Это временное решение.

А я щас проверю твое предположение, чей-то интересно стало. :)