COM Exception silently eaten

Question

I have a native exe loading managed code that calls a COM object. The managed code attempts to set up a call back using IConnectionPoint. However the Advise method on the COM side returns E_FAIL. A manged COMException is thrown but my code does not catch the exception and I am not sure where it is handled. In fact I am modifying the COM code to set up a status flag to indicate connection status... a kludge I could avoid if the COMException could only be caught. I can see the COM exception in Windbg but the stack trace on the exception is empty. Any suggestion as to how to find out where the exception is being swallowed.