This is just a crazy first shot, but is the exception handled somewhere other than your code? I have had cases where the first chance exception occurs, only to be handled in one of the underlying libraries (i.e. the exception is used as a normal part of one of the sub-systems). If you set VS to not break on first chance exceptions then you would never even know it occurred.
Before digging into the nitty gritty details, have you tried that out?