Exceptions in asynchronous delegates

Question

I purposefully throw an exception from within my asynchronous delegate under specific circumstances. When running under .NET 1.1 and VS .NET 2003, I can easily process these exceptions by calling EndInvoke. Now, while debugging under .NET 2.0 and VS .NET 2005, the debugger, annoyingly warns me that the exception was not handled in user code even though the exception was handled on the calling thread.

Microsoft Visual Studio

An exception of type 'cmi.communication.compinterface.SendCommandException' occurred in cmi.comp.ip.modbus.tcp.dll but was not handled in user code

Additional information: The send command operation failed.

Presenting this warning to customers using my component will inevitably lead them to believe that there is something wrong in the component. Or, at the very least, they too will be annoyed while debugging their code. How can this ‘feature’ be controlled?