Form Closing And Unhandled Exception

I am inheriting my class from a form that has a handler for FormClosing (it's overridable so I can override it and do MsgBox("Ha") there before calling the base method). In my Shared Sub New() I have:

' Add the event handler for handling UI thread exceptions to the event.
AddHandler Application.ThreadException, AddressOf Application_ThreadException
' Add the event handler for handling non-UI thread exceptions to the event.
AddHandler AppDomain.CurrentDomain.UnhandledException, AddressOf CurrentDomain_UnhandledException
'For Console applications you should use the System.AppDomain.UnhandledException event
AddHandler Thread.GetDomain().UnhandledException, AddressOf CurrentDomain_UnhandledException

If I throw an exception in my form outside of a try/catch I am noticing two different behaviors: If I am using the VS debugger I get an unhandled exception and it seems that my unhandled exception handler is called. The formClosing event handler does not seem to be called. If I am NOT using the VS debugger then the FormClosing Handler is being called but the Unhandled Exception handler isn't called. Ideally I would like (in both cases) to have the Unhandled Exception to be called and then the FormClosing event handler to be called.