Try...Catch block "pauses" while debugging

[axplains]

Hello,
I have a database application with error handling in a separate module.

...
' EDIT A RECORD
With currentCustomer
  .Address = txtAddress.Text
  .ContactDate = dtpContactDate.Value
  'etc...
End With
 
' SAVE
Try
  Db.SubmitChanges()
  Me.Close()
Catch ex As Exception
  MessageBox.Show(ex.Message)
End Try

I have defined validation code in a partial class:

Partial Public Class Customer
 
Private Sub OnValidate(ByVal action As System.Data.Linq.ChangeAction)
  Select Case action
  Case ChangeAction.Update
    If Me.Address = Nothing Then
      Throw New Exception("Fill the Address!")
    End If
'etc...

But while debugging (and "Address" field is left empty), the program breaks and I get an exception at the "Throw New Exception" line even if the error should be trapped by the "Try...Catch" block.
At runtime, everything works well and the correct error is displayed.

What is happening?