The problem is simply this:
IE also, will detect and correctly remove objects creating circular references, except when one or more of those objects are DOM nodes or ActiveX objects.
That, and of course -- closures. You gotta love IE. I have a new saying: "IE 6 is the new Netscape 4."
The MSDN mothership also pointed me also to a nice article explaining how script garbage-collectors work. Apparently JScript's GC is a 'nongenerational mark-and-sweep garbage collector.'
That was not terribly helpful to me until I could find out what a 'generational' collector is. Apparently generational garbage collection is "Based on the observation that most objects have short lifetimes, it is useful to restrict garbage collection to the most recently allocated objects." I was able to find that info, and a lot of other good stuff about GCs at the GC FAQ.