In a virtual machine I was using I suddenly noticed that the Exception option was missing from my Debug menu.
I thought something had gone wrong in Visual Studio and restarted the environment but the same thing happened.
After digging around for quite a while I discovered that this option is turned off for the Visual Studio installation I was using, due to the profile that had been chosen when installing VS. In short, they had not chosen the C# Developer profile, and thus, the Exception item was missing.
You can get it back by going to the Tools —> Customize —> Debug menu and drag the Exception option back into the Debug menu.