Try following the instructions:
- In the Exception Settings window, open the context menu by right-clicking in window and then selecting Show Columns. (If you have turned off Just My Code, you will not see this command.)
- You should see a second column named Additional Actions. This column displays Continue when unhandled by user code on specific exceptions, meaning that the debugger does not break if that exception is not handled in user code but is handled in external code.
- You can change this setting either for a particular exception (select the exception, right-click, and select/deselect Continue when Unhandled in User Code) or for an entire category of exceptions (for example, all the Common Language Runtime exceptions).
https://msdn.microsoft.com/en-us/library/x85tt0dd.aspx