Because if the WDTE bits in CONFIG3 is anything but 0b01 the SEN bit is ignored and the CONFIG block of the code contains _WDT_ON which, according to the .INFO file for the device means
Code:
 _WDTE_ON	    ;WDT enabled regardless of sleep; SWDTEN ignored
If you want software control of the WDT you could choose
Code:
_WDTE_SWDTEN	    ;WDT enabled/disabled by SWDTEN bit in WDTCON0
/Henrik.