'new' in initialization list

[Kumosan]

Hi,
I am used to initialize pointers in my classes the following way:

XX::XX():
   bla(new something(this)),
   bla2(new someotherthing(this))
{
   // 
}

XX::XX():
   bla(new something(this)),
   bla2(new someotherthing(this))
{
   // 
}

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i.e. using 'new' to initialize member pointers in my classes. Usually Qt gui classes.
With the gcc this works just fine, visual studio gives me a warning and I hate code, which does not compile cleanly without warnings.

Now I wonder whether above code is acceptable and the VS warning is only a Microsoft marketing thing to support their 'managed' stuff, or really bad style. I searched the internet, but did not find much about above problem.

The only problem I see is that if the construction of XX fails and an exception is thrown I have a memory leak since the destructor isn't called. However, with all the code I wrote up to date, I don't see this as problem, in all cases the program would have to terminate anyways.

Something I overlook? Any comments?