Sometimes in WinDbg managed exceptions are not enabled, so the debugger won't break on them.

Unfortunately I'm not near a computer with WinDbg, so I'm doing this from memory. In one of the menus (I think Debug) there is something that is called Exceptions or Filters or something.

It should open a list of all available exception type. For Windows, all managed exceptions looks the same, so you'll need to enable the "CLR Exceptions" option and then it will break on all managed exceptions (some of which might not be the exception you are looking for).

From there you can continue with what I've written in my post. 

You can look in WinDbg help about enabling and disable certain types of exceptions.

If you still need help and it doesn't help you I will be around a WinDbg and a normal computer in about two weeks and I'll help you a bit more .