The main thread is one thread, and your new thread is another thread. These two threads do not talk to each other, which means that they are completely independent. If you want to catch an exception in your main thread, there are two ways to do this.
Application.Current.DispatcherUnhandledException += Current_DispatcherUnhandledException;
void Current_DispatcherUnhandledException(object sender, System.Windows.Threading.DispatcherUnhandledExceptionEventArgs e)
{
}