We were able to get the exceptions to show up in some modes, but we couldn't quite get the same result. There's several knobs which affect this including:
Tools->Options->Python Tools->Advanced->Enable Debugging of the Python standard library
By default this option is turned off, if it's on it would cause us to break on exceptions in the library if it was enabled
Tools->Options->Debugging->Enable just my Code
This alters how we handle exceptions and when we report them to you. I'd suggest turning this option on if you don't already have it turned on
Finally there's the exceptions dialog in Debug->Exceptions, but I think these are the most likely culprits. If flipping those doesn't work could you paste in a repro of what it takes to get up to the issubclass exception?