Visual Studio not breaking on user-unhandled exceptions

Debug->Exceptions->Check Thrown/User-Unhandled for Common Language Runtime Exceptions

edit: Maybe try to do a clean/rebuild, and run again? Maybe debug symbols are corrupt or something..

For visual studio 2015 :

1.Open Exception settings window (it's new in 2015)

2.Check All CLR Exceptions

3.If you don't need visual studio to throw specific exceptions uncheck this