How to turn off "Break when exception is thrown" for custom exception types

In the Debug > Exceptions dialog, click Add, select Common Language Runtime exceptions, and enter the full name (not the assembly-qualified name) of the exception. Then uncheck the Thrown checkbox for this exception.

In Visual Studio 2019, when the exception occurs, there will be an information dialog.

Just un-check "Break when this exception type is user-unhandled".