It seems to be down to the behaviour of the ExceptionAssistant specfically. When you continue, the assistant unwinds the call stack to the point at which the exception was thrown -- which causes the exception to be rethrown. I assume this is to allow you to make changes that would allow you to avoid the exception.
If under Tools\Options\Debugger\General you uncheck "Unwind the call stack on unhandled exceptions" then it'll just behave as an independent process would behave, and you'll see the process terminate.