Да, это бага студии, проявляется и в 2008, и в 2010. Для того, чтобы настройки подцеплялись — дописал программный вызов диалогового окна "Exceptions" и нажатие сразу там кнопки Ok.
Идиотизм конечно, но что делать. Зато работает, хоть и медленно из-за тормозной студии.

Imports System
Imports EnvDTE
Imports EnvDTE80
Imports EnvDTE90
Imports EnvDTE90a
Imports EnvDTE100
Imports System.Diagnostics
Imports Microsoft.VisualBasic
Imports Microsoft.VisualBasic.ControlChars

' execute Macros.MyMacros.VSDebuggerExceptions.IgnoreCurrentExceptionWhenThrown from VS Command Window

Public Module VSDebuggerExceptions

    Sub BreakWhenThrown(Optional ByVal strException As String = "")
        Dim dbg As Debugger3 = DTE.Debugger
        Dim eg As ExceptionSettings = _
            dbg.ExceptionGroups.Item("Common Language Runtime Exceptions")
        eg.SetBreakWhenThrown(True, eg.Item(strException))
    End Sub

    ' copied from Utilities module (samples)
    Function GetOutputWindowPane(ByVal Name As String, Optional ByVal show As Boolean = True) As OutputWindowPane
        Dim window As Window
        Dim outputWindow As OutputWindow
        Dim outputWindowPane As OutputWindowPane

        window = DTE.Windows.Item(EnvDTE.Constants.vsWindowKindOutput)
        If show Then window.Visible = True
        outputWindow = window.Object
        Try
            outputWindowPane = outputWindow.OutputWindowPanes.Item(Name)
        Catch e As System.Exception
            outputWindowPane = outputWindow.OutputWindowPanes.Add(Name)
        End Try
        outputWindowPane.Activate()
        Return outputWindowPane
    End Function

    Private WithEvents t As Timers.Timer

    ' Adds the current exception to ignore list
    Sub IgnoreCurrentExceptionWhenThrown()
        Dim commandWin As EnvDTE.CommandWindow
        commandWin = DTE.Windows.Item(EnvDTE.Constants.vsWindowKindCommandWindow).Object

        Select Case DTE.Debugger.CurrentMode
            Case dbgDebugMode.dbgDesignMode
                commandWin.OutputString("This macro is not enabled in Design Mode. Run it in Break Mode." + vbCrLf)
                Return

            Case dbgDebugMode.dbgRunMode
                commandWin.OutputString("This macro is not enabled in Run Mode. Run it in Break Mode." + vbCrLf)
                Return
        End Select

        commandWin.OutputString(Environment.NewLine)
        commandWin.OutputString("Trying to get the information about current exception.." + Environment.NewLine)

        Dim dbg As Debugger3 = DTE.Debugger
        Dim currentExpression As Expression = dbg.GetExpression("$exception", False)
        Try
            'dump of currentExpression.DataMembers

            'Dim count As Integer = currentExpression.DataMembers.Count
            'For i As Integer = 1 To count
            '    commandWin.OutputString("$exception.DataMembers[" + i.ToString + "].Type = " + currentExpression.DataMembers.Item(i).Type)
            '    commandWin.OutputString(Environment.NewLine)
            'Next
            'commandWin.OutputString("Taking first data member to identify current exception.." + Environment.NewLine)

            Dim currentExceptionTypeString As String = currentExpression.DataMembers.Item(1).Type
            commandWin.OutputString("Detected current exception type is : " + currentExceptionTypeString + Environment.NewLine)

            Dim flag As Boolean = True
            Dim eg As ExceptionSettings = dbg.ExceptionGroups.Item("Common Language Runtime Exceptions")
            Try
                eg.SetBreakWhenThrown(False, eg.Item(currentExceptionTypeString))
            Catch exc As Exception
                commandWin.OutputString("Cannot find this exception, trying to create.." + currentExceptionTypeString + Environment.NewLine)
                '
                eg.NewException(currentExceptionTypeString, New Random().Next)
                eg.SetBreakWhenThrown(False, eg.Item(currentExceptionTypeString))
                eg.SetBreakWhenUserUnhandled(True, eg.Item(currentExceptionTypeString))
                flag = False
            End Try

            commandWin.OutputString(Environment.NewLine)
            commandWin.OutputString("Exception '" + currentExceptionTypeString + "' added to ignore list.")
            commandWin.OutputString(Environment.NewLine)

            t = New Timers.Timer()
            ' small interval to send keys after DTE will start to exec command
            t.Interval = 0.1
            t.Start()
            DTE.ExecuteCommand("Debug.Exceptions")

        Catch exc As Exception
            commandWin.OutputString("Error occured")
        End Try
    End Sub

    Private Sub t_Elapsed(ByVal ee As Object, ByVal dd As Timers.ElapsedEventArgs) Handles t.Elapsed
        t.Stop()
        ' only press Ok to apply changed exceptions settings to debugger
        System.Windows.Forms.SendKeys.SendWait("%t")
        System.Windows.Forms.SendKeys.SendWait("{ENTER}")
    End Sub

End Module