I have this code which Invokes a MethodInfo:
try
{
     registrator.Method.Invoke(instance, parameters);
}
catch{
    registrator.FailureType = RegistratorFailureType.ExceptionInRegistrator;
    //registrator.Exception = e;
}
The Registrator is just a MethodInfo wrapper, the Method property is the MethodInfo object itself. parameters is and object[] and instance is a correct instance of the Method's declaring type (created with Activator.Create).
The Method looks like this (I was testing exception catching):
class Test : Plugin, ITest
{
    public void Register(IWindow window)
    {
        throw new Exception("Hooah");
    }
}
The problem is: The exception is never caught and the Visual Studio's uncaught exception bubble pops up.
This is in VS 2010 with .NET 4.0