Microsoft posted a NETDDE Post-SP4/5 hotix at ftp://ftp.microsoft.com/bussys/winnt/winnt-public/fixes/usa/NT40/Hotfixes-PostSP5/NetDDE-fix/.
Here is an excerpt from Knowledge Base Article Q231337, also posted at ftp://ftp.microsoft.com/bussys/winnt/winnt-public/fixes/usa/NT40/Hotfixes-PostSP5/NetDDE-fix/Q231337.TXT:
TITLE :NETDDE.EXE Fails to Relay WM_DDE_TERMINATE to Remote Clients
When a remote client in a DDE conversation with a server running on Windows NT
4.0 Service Pack 4 sends WM_DDE_TERMINATE to the server, Netdde.exe fails to
relay the server's WM_DDE_TERMINATE response back to the remote client.
In addition to causing the client to never receive WM_DDE_TERMINATE, this also
has the undesirable effect of leaving child windows orphaned.</b>