OK, here's where I'm at.
First, I've created a small command-line c++ program using command-line tool (sorry, Martin, that's what I'm used to, and you know how the saying about old dogs goes) that opens a file in my home directory, immediately writes a string to it, then enters a loop writing a short line to that still-open file (using the c/c++ 'select' command to create ~16 mS delays between each write). This program behaves as expected (creating the afore-mentioned file and writing to it) when invoked from the command line (it doesn't need any arguments, nor does it check for them).
When invoked from the scheduler it behaves the same way as a 'startup' entry it behaves the same way, continually running and writing to that file in my Windows home directory.
It behaves differently when invoked from within a sequence. It creates a zero-size file in my home directory, but doesn't appear to write anything to it while the show is running. However, when I stop the show a lot of data appears in the file, what I would have expected to show up along the way.
Nothing seems to happen when I'm running the sequence by itself within the sequence editor (no file created, nothing).
Maybe I need to add something to my program to flush the data, but I'll keep playing with it.