In Debian bullseye /usr/share/doc/gcc-mingw-w64-base/NEWS.Debian.gz says:
- This release of gcc-mingw-w64 changes the 32-bit exception handling mechanism from SJLJ to Dwarf2, to match MSYS2, Fedora, and other toolchains, and to allow the Rust toolchain to provide 32-bit cross-compilers. This will require rebuilding all artifacts built with previous releases of the toolchain. Shared binaries will need to be shipped with the dw2 DLL instead of the sjlj DLL.
IIUC, we use SJLJ exception for GnuPG and its friends now.