Rx.net behavior changing (possibly violating implicit Reactive contract) when using 2nd SubscribeOn

Question

I'm trying to understand the changing behavior when I uncomment the 2nd SubscribeOn.

In this case, I hit the line throwing exception.

Can someone provide me with an answer - if it is intended behavior and why?

Without 2nd SubscribeOn it takes 30+ seconds to finish (and that's good). With - it hits the line with an exception after 2 seconds of run.

    [TestMethod]
    public void AsyncObservable_NonReentrant()
    {
        int tester = 0;
        bool finished = false;
        Observable.Generate(
                0,
                i => i < 5,
                i => i+1,
                i => i,
                _ => TimeSpan.FromSeconds(1)
            )
            .SubscribeOn(ThreadPoolScheduler.Instance)
            .Finally(()=>finished = true)
            .Select(_ =>
            {
                Interlocked.Increment(ref tester);
                if (tester > 1)
                    throw new InvalidOperationException();
                return Observable
                       .Repeat(1, 5)
                       .Window(3)
                       .Finally(()=>Interlocked.Decrement(ref tester))
                       /*.SubscribeOn(ThreadPoolScheduler.Instance)*/;
            })
            .Concat()
            .Subscribe(__ =>
            {
                Thread.Sleep(3000);
            });
        while (!finished)
            Thread.Sleep(100);
    }