-e: You can add exception catchpoint only for exceptions from System namespace
But looks like adding Editor script fixes it.

-repro:
1. Open a project.
2. Open ThrowExceptionScript in MD.
3. Add new exception catchpoint (Run -> New Exception Catchpoint)
4. Check a dropdown lost of available exceptions.

You can see that there are only System.* exceptions
No custom ones, no Unity specific exceptions.

Check Bug 731096 for information about a problem with catching exception of System.Exception type.

But apparently if you add Editor script and recompile everything, custom exceptions will be in the list.