Exceptions thrown in a Dialog Component do not propagate outside of this Dialog Component

I have a problem where if an exception is thrown inside of a Dialog Component, it will not propagate to the try-catch block where this Dialog was called to open. Rather, while debugging, the debugger will jump straight to another exception in Delegate.CoreCLR.cs, after which the application crashes.
The exception will be caught properly if the catch block is inside the dialog.
This makes it impossible to handle all errors that could occur in a Dialog with one try-catch block around the place in code where the Dialog is opened.

For example, this is the place where the Dialog is opened:

    private async Task OpenExportDialog()
            await m_DialogService.OpenAsync<ExportDialog>("Export");
        catch (Exception exception)
           // Handle error
           // The exception should go through here, but it does not

If there is an exception thrown anywhere in the dialog (and not caught immediately in the dialog), the debugger jumps to Delegate.CoreCLR.cs

Thanks for any answers!