Take this code:
using System;
namespace OddThrow
{
class Program
{
static void Main(string[] args)
{
try
{
The output is actually from the default CLR exception handler. Exception Handlers occur before the finally block. After the finally block the CLR terminates because of the unhandled exception (it can't terminate before, as c# guarantees [1] that the finally clause is called).
So I'd say it's just standard behaviour, exception handling occurs before finally.
[1] guranteed during normal operation at least in absence of internal runtime errors or power outage