Some exceptions not being caught by handlers

I have this code in my Program.cs file:
 

// Add the event handler for handling UI thread exceptions to the event.
              Application.ThreadException += new ThreadExceptionEventHandler(mainForm.Form1_UIThreadException);

                // Add the event handler for handling non-UI thread exceptions to the event. 
              AppDomain.CurrentDomain.UnhandledException += new UnhandledExceptionEventHandler(mainForm.CurrentDomain_UnhandledException);

                Application.Run(new mainForm());

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When I throw an exception like this: throw new InvalidConstraintException();
I get an error message that the exception was unhandled.  (there is code to handle the exception, but it's not being called)

What am I doing wrong?