Thanks to Donald Arsenau for actually explaining this. But on the basis
of what he said, I would expect
\def\E{\mathop{\bf {E}}}
to work. However,
\def\E{\mathop{\bf E\kern0pt}}
works perfectly.
If you actually want this (somewhere I read a rather unconvincing
explanation why Knuth did), then \setbox0=\hbox{$\E$} ought to get around
the bug.
Michael