Actually it's not really "supported" on ANY of the operating systems. It's a Beta and is a "use at your own risk" deal so when Microsoft says it is not "supported" on W98, I think they mean that it won't work on any but the others that you mentioned.
The program says it 'supports' W2K, XP, and Server2003, but does the program actually run and work with W98SE? I haven't seen anybody complaining that it doesn't but the question came up today on whether it actually works even though not 'supported'.
TONI

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic