See https://github.com/RuntimeCompiledCPlusPlus/RuntimeCompiledCPlusPlus/blob/master/Aurora/RuntimeObjectSystem/RuntimeObjectSystem_PlatformWindows.cpp#L44-L48

For VS2015+ we always handle exceptions ourselves, as VS changed to always catching these before the app. However C++ exceptions are handled first by the app, so they don't get a chance for the debugger to catch them.