Q:

Visual Studio Just-in-Time Debugger quits immediately

I have a WinForms managed application which calls into a native C++ dll.  I have enabled mixed managed and unmanaged debugging for the project and I'm able to step into the unmanaged code when debugging the project.  
I'm interested in JIT debugging because it's much faster to run the debug build outside the debugger and start debugging only after some assertion is violated.  JIT Debugger works fine, when the exception is raised in the managed code.  It also work when I JIT debug a standalone C++ application.  But whenever an exception is raised inside the unmanaged code which is invoked from the WinForms application, the JIT debugger quits immediately after I initiate the debugging session.  I have enabled all the JIT debuggers in Options/Debugging/Just-In-Time list.  Is this scenario supported at all? 
UPDATE
I've run some more tests, and I can see that 

This problem is not specific to WinForms applications.  JIT Debug also fails when a managed console application calls into a native dll, which raises an assertion exception. 
The problem does not seem to depend on framework version.  I tried versions 3.5, 4, 4.5, 4.6. 
The debugger also fails to break on an assertion exception in the unmanaged code, when I attach the debugger to its managed host application. 

A:

I feel stupid.  The solution was right in front of me. 
There's an option in Visual Studio Just-In-Time Debugger dialog.  It's called "Manually choose the debugging engines".  Both Managed and Native engines have to be selected.