Capture first chance exceptions

First chance exceptions will not be captured unless you manually set it to throw in Visual Studio.
But the exception type will display as output. (View > Output - ctrl+w O)

How to throw a first chance exception?

Debug > Exceptions > Add... > Type: Common Language Runtime Exceptions > Name: {name of the exception} > OK > Tick the checkbox in Thrown column > OK

Now, once the exception occurs, it will be thrown in run time.