As C# Specification describes:
When an exception occurs, the system searches for the nearest catch clause that can handle the exception, as determined by the run-time type of the exception. First, the current method is searched for a lexically enclosing try statement, and the associated catch clauses of the try statement are considered in order. If that fails, the method that called the current method is searched for a lexically enclosing try statement that encloses the point of the call to the current method. This search continues until a catch clause is found that can handle the current exception, by naming an exception class that is of the same class, or a base class, of the run-time type of the exception being thrown. A catch clause that doesn't name an exception class can handle any exception.
Once a matching catch clause is found, the system prepares to transfer control to the first statement of the catch clause. Before execution of the catch clause begins, the system first executes, in order, any finally clauses that were associated with try statements more nested that than the one that caught the exception.
in case of exception runtime first looks for catch clause that can handle it, which involve executing any associated exception filters. Undiscriminating catch block interrupt that search and make all nested finally blocks to be executed immediately.
That can be useful when you want to prevent caller from executing arbitrary code (in form of exception filter) before finally block. For example, when finally block affect security context of current thread.
Also, if exception will not be caught by any catch clause, then it will lead to thread termination. And in that case C# Specification did not provide any guaranty, that any finally block will be executed at all.
If the search for matching catch clauses reaches the code that initially started the thread, then execution of the thread is terminated. The impact of such termination is implementation-defined.