The options are under Debug->Exceptions and then Python Exceptions. I'd guess that the exceptions we're not breaking for are things like AttributeError and IndexError, where we cannot accurately determine whether there is an exception handler or not (because __getattr__ and for loops act as exception handlers for these). If you select the User-unhandled checkbox for these exceptions then we'll break, and if you enable the Thrown checkbox for any exception we'll break without trying to see if there's a handler or not. (In a lot of Python code, this will happen often. It's really meant for targeted use when you know that there's a particular exception you want to break at.)
If you only see one column of checkboxes then you should go to Debug->Options and Settings and check Enable Just My Code. In 2.0 alpha we don't properly handle the case when this option is disabled - http://pytools.codeplex.com/workitem/976
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