Уже поздно, и я не проверял, но помогает ли это?
Dim dbg As EnvDTE90.Debugger3 = DTE.Debugger
Dim exSettings As EnvDTE90.ExceptionSettings = dbg.ExceptionGroups.Item("Common Language Runtime Exceptions")
Dim exSetting As EnvDTE90.ExceptionSetting = exSettings.Item("System.Data")
If exSetting.BreakWhenThrown Then
exSettings.SetBreakWhenThrown(False, exSetting)
Else
exSettings.SetBreakWhenThrown(True, exSetting)
End If