I found the culprit (by logging my startup steps): it's the check for updates.
If I call Application.CheckAndDownloadUpdateAsync()
when there is no connection available, I get this exception. If I check whether a connection is available(*) before launching the check for updates, the exception disappear.
This is not documented in http://msdn.microsoft.com/en-us/library/dd730310%28VS.95%29.aspx so it looks like a bug in the Silverlight runtime.
(*) Based mostly on NetworkInterface.GetIsNetworkAvailable()
, plus some custom checks.