That is interesting, I would have thought that the answer would be syntactically invalid at first glance. But, in thinking about how the EXCEPT operator would be implemented, it probably has no knowledge of what the function's domain is, and simply loops over all of the provided exceptions, applying each one. This leads to a kind of "mutability" of the function, where the subsequent re-definitions build off of the result of the previous one.
[f EXCEPT e1, e2, e3] is just a shorthand for [[[f EXCEPT e1] EXCEPT e2] EXCEPT e3], so each subsequent exception does operate on the result of the previous.
I never read about the EXCEPT operator to this level of depth, so yes, thanks for sharing!