Putting in a test would be even better than simply commenting that the behaviour is known for e.g. Win95; it might point out version differences and certainly will catch when we accidentally break the code.
If we add a test for every micro-detail of the APIs, the test cases would probably be larger than Wine itself. I think sanity checking input parameters in this way is pretty obvious, for cases where it's not clear a comment in the code is probably more useful than another test case.