First chance exception when handling exceptions

The way I'm handling exceptions is to set values for controls on my master page from the client page where the exception occurs:

    private void deleteUser(int userid)
    {
        try
        {
            ImajUser u = new ImajUser(userid, true);
            u.Delete();

            lblerr.Text = "User was deleted successfully.";
            lblerr.ForeColor = System.Drawing.Color.Green;
        }
        catch (Exception ex)
        {
            this.Master.ErrorTitle.Text = "Delete User";
            this.Master.ErrorMessage.Text = String.Format("Error actioning request: [ {0} ]", ex.Message);
            this.Master.pnlErrorBG.Visible = true;
            this.Master.pnlErrorModal.Visible = true;

        }
    }

When i test this (last time I shut down the database and tried a Delete), my catch block executes without fault, but I get a first chance exception and the debugger stops completely:

A first chance exception of type 'System.Data.EntityException' occurred in System.Data.Entity.dll
The program '[2108] WebDev.WebServer40.EXE: Managed (v4.0.30319)' has exited with code -2147023895 (0x800703e9).

I've never seen this before. I don't know what causes it and I don't know how to fix it either...

Any help will be greatly appreciated!

EDIT

The properties I'm setting for access to the master page's controls are:

    public virtual Label ErrorTitle { get { return lblErrorAction; } }
    public virtual Label ErrorMessage { get { return lblErrorMessage; } }
    public virtual Panel pnlErrorBG { get { return ErrorBackground; } }
    public virtual Panel pnlErrorModal { get { return pnlErrorModal; } }

These reference the controls:

    <asp:Panel runat="server" id="ErrorBackground" visible="false"> </asp:Panel>
    <asp:Panel runat="server" id="ErrorModal" visible="false">
        <asp:Label runat="server" ID="lblErrorAction" CssClass="lblerrortitle"></asp:Label>
        <asp:Label runat="server" ID="lblErrorMessage"></asp:Label>
        <asp:Button runat="server" ID="btnErrorAction" CssClass="button" Text="Retry" OnClick="btnErrorAction_Click" />
    </asp:Panel>

EDIT 2
So I tried moving the controls to the page where the exception actually occurs and that worked 100% whereas using controls on the master page causes the error.

This is a Visual Studio setting in Debug / Exceptions. The [x] Thrown properties tells the debugger to stop on first chance exceptions. Uncheck the checkbox to stop only on second chance exceptions.

BTW: first chance exceptions do not terminate a process. Only second chance exceptions do. So you should be able to continue by pressing the "Play" button (Continue) again or use the F5 key.