I encountered the same with Slave Zero game lately. The behaviour to catch cli / sti (and maybe other subset of privileged instructions, I tested only these) is trigered on modern Windows by setting Win98 compat. In that game it was achieved by setting `<fulldirpath>\SlaveZero.exe" string value to "WIN98 RUNASADMIN HIGHDPIAWARE"" to registry key `HKEY_CURRENT_USER\Software\Microsoft\WindowsNT\CurrentVersion\AppCompatFlags\Layers`. It is Win98 part which matters here. That works for 32 bit code only. For that game setting this registry was done by Steam during game setup. It should probably also be possible to achieve with Compatibility Tool Administrator. I guess that for this game either something in its installer does that or it is in the shim database.
With some testing around (adding various exception handlers) it works through PE side vectored exception handler. That is probably installed by one of generic shim dlls Windows loads when compat options are used.