According to MSDN:
The Sign Tool is not supported on Microsoft Windows NT, Windows Me, Windows 98, or Windows 95.
This obviously does not preclude the executable being signed from working, but does imply that the validation and signing routines are missing from those platforms.
I would expect that the executables themselves, assuming they do not use functionality that is precluded by using an older platform, would work and that the code signing is stored in an extra block within the executable that the operating system has to be aware of.
An older operating system may well simply ignore that block and execute the code without knowing any better. You would simply not have the validation that having the executable signed would provide.
It is entirely possible though that an application that was created since the signing tool has been available was most likely targeted at Windows 2000 machines and above and simply would not work on Windows 98 for reasons other than the fact that they have been signed.