Occasional Exception Unhandled thrown although Break option is deactivated

Question

I've set up my exceptions so that an error in the code

        Try
            Using Client As New WebClient
                Client.DownloadFile(sExtract, sDownloadTo)
            End Using
        Catch ex As Exception
            Debug.Print("Failed: " + sExtract)
        End Try

isn't throw.

This works fine most of the time, but after like 50-100 of errors, the following exception is shown:

According to the checkbox state "Break when this exception type is thrown", which is not-activated, this exception shouldn't be shown this way, right?

What might cause this behaviour, and how could I change it so that this exception isn't thrown?

Here is an additional image of the QuickWatch:

Answer 1

   Try
        Dim Client As New WebClient
        Client.DownloadFile(sExtract, sDownloadTo)
    Catch ex As Exception
        Console.writeline(ex.tostring)
    End Try