Jetbrains Rider doesn't allow debugging on 3rd party exceptions

I'm not sure if I'm missing something here, but it doesn't appear to be possible to debug exceptions in Jetbrains Rider. I have an incredibly simple piece of code that throws an exception (invalid file name) and there is no way I can find to

a) stop on the exception line in my code raising the exception, and

b) view the value of any variables in my source code that may have contributed to the exception.

I've recorded a sample video here that shows the debug attempt, and why it seems illogically impossible.

Has anyone found a way of debugging this stuff? Is Rider actually broken?

Sample video showing (attempted) debug session

For anyone experiencing the same situation, enable "Any Exception" and disable "Only break on exceptions thrown from user code" in Breakpoint Options. You can also (as @mu88 mentions) disable debugging of external sources, but that simply reduces the clutter in stack frames.