I really don't think it is an OS issue (I could almost guarantee it). My guess is that it is a difference in the compilers. I'm not sure how much if any code was changed to port GMP to Win32 but there could definitely be something going on there.
Any chance you could post the code somewhere for people to take a look at and see if they are seeing the same thing you are?
As far as anyone from the Visual Studio team responding... I'm not sure if anyone from those teams visits Channel 9. So I wouldn't count on anyone from there replying to this thread. (It is possible, just not likely IMO)