How to log any exceptions that were thrown and catched? Something like Visual Studio\'s IntelliTrace do. Or is there a way to integrate InteliTrace into debug version of app
You could attach a debugger, like WinDbg, to your process, and get it to break on any first chance CLR exceptions; this will include exceptions in the third party library. See here for an example of how to do this.
You can use your own logging system or use third party lib called log4net.