Getting an Unhandled Exception in VS2010 debugger even though the exception IS handled

I have an issue with VS2010 where the debugger stops with an Unhandled Exception. However, the exception is definitely handled. In fact, if I put code in the catch block, I'll hit it when I press F5. In Debug -> Exceptions, I definitely do not have the "Thrown" checkbox checked, so IMO there is absolutely no reason for the unhandled exception dialog to pop up...

I can't post the exact code, but will work on a sample soon. The basic idea behind the offending code section is that I have a thread that talks to hardware, and if I have an error talking to it, then I throw a HardwareException. The thread is launched with BeginInvoke, and the exception is caught in the callback handler when I call EndInvoke.

When the exception is thrown in the debugger, I get a messagebox that says 'HardwareException not handled by user code". But it is!!!

EDIT -- Well, this is driving me crazy. I've got sample code that is representative of the code I have in my application, and it looks like this:

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Runtime.Remoting.Messaging;
using System.Threading;

namespace ConsoleApplication1
{
    public class HardwareException : ApplicationException
    {
        public HardwareException( string message) : base(message) {}
    }

    class Program
    {
        delegate void HardwareTestDelegate();

        static void Main(string[] args)
        {
            HardwareTestDelegate d = new HardwareTestDelegate( HardwareTestThread);
            d.BeginInvoke( HardwareTestComplete, null);
            while( true);
        }

        static void HardwareTestThread()
        {
            throw new HardwareException( "this is a test");
        }

        static void HardwareTestComplete( IAsyncResult iar)
        {
            try {
                AsyncResult ar = (AsyncResult)iar;
                HardwareTestDelegate caller = (HardwareTestDelegate)ar.AsyncDelegate;
                caller.EndInvoke( iar);
            } catch( Exception ex) {
                Console.WriteLine( "Should see this line without getting an unhandled exception message in the IDE");
            }
        }
    }
}

I throw my HardwareException from the thread, and then handle the exception when EndInvoke is called. I guess Murphy was right, because when I run this sample code, it does what I expect -- i.e. no unhandled exception error message pops up in the IDE!