Why does SEH in main jump back to same Vector Exception Handler?

Question

I am writing code to test C++ and SEH exceptions. However, on running my code below, the exception again calls the same handler even though I have specified the index to be 0 i.e. the last handler. In my opinion, the ideal handling should be:

SEH exception happens -> Vector Exception Handler is called -> Searches and sees no other handler -> program terminates/Exception is left unhandled.

On running the debugger, I see the output as:

exception caught!

(multiple times when I click on "continue" on VS)

LONG WINAPI HandleVecException(EXCEPTION_POINTERS *exceptionPointers) {
    std::cout << "Exception caught!";
    return EXCEPTION_CONTINUE_SEARCH;
}

int main() {
    // Install the exception filter for the main thread
    PVOID handle = AddVectoredExceptionHandler(0,HandleVecException);
    try {       
        int* ptr = nullptr;
        *ptr = 42; // Access violation
    }
    catch(std::exception ex){
        //code won't enter here
        cout << "Exception" << ex.what();
        //std::rethrow_exception(current_exception());
    }

    RemoveVectoredExceptionHandler(handle);

    return 0;
}