Design time exception not caught in .Net Winforms

Question

I have a form that is used at design-time to configure various properties.
I've tried two ways to do a form-level catch all exception:

(1) I add a handler to Application.ThreadException in the constructor.
(2) I wrap the Show method, of the form, in a Try/Catch block

Both of these work at run-time when I test by adding a property grid to a form and set my component as the SelectedObject.

However, at design-time the form simply closes with no message whatsoever; neither my message nor any message explaining that there is an unhandled exception.

Any ideas?

ETA: This is not about debugging at design-time. It's about how to present the user with a friendly message when my type editor encounters an unhandled exception.