Why is UncaughtExceptionHandler not called by ExecutorService?

I've stumbled upon a problem, that can be summarized as follows:

When I create the thread manually (i.e. by instantiating java.lang.Thread) the UncaughtExceptionHandler is called appropriately. However, when I use an ExecutorService with a ThreadFactory the handler is ommited. What did I miss?

public class ThreadStudy {

private static final int THREAD_POOL_SIZE = 1;

public static void main(String[] args) {

    // create uncaught exception handler

    final UncaughtExceptionHandler exceptionHandler = new UncaughtExceptionHandler() {

        @Override
        public void uncaughtException(Thread t, Throwable e) {
            synchronized (this) {
                System.err.println("Uncaught exception in thread '" + t.getName() + "': " + e.getMessage());
            }
        }
    };

    // create thread factory

    ThreadFactory threadFactory = new ThreadFactory() {

        @Override
        public Thread newThread(Runnable r) {
            // System.out.println("creating pooled thread");
            final Thread thread = new Thread(r);
            thread.setUncaughtExceptionHandler(exceptionHandler);
            return thread;
        }
    };

    // create Threadpool

    ExecutorService threadPool = Executors.newFixedThreadPool(THREAD_POOL_SIZE, threadFactory);

    // create Runnable

    Runnable runnable = new Runnable() {

        @Override
        public void run() {
            // System.out.println("A runnable runs...");
            throw new RuntimeException("Error in Runnable");
        }
    };

    // create Callable

    Callable<Integer> callable = new Callable<Integer>() {

        @Override
        public Integer call() throws Exception {
            // System.out.println("A callable runs...");
            throw new Exception("Error in Callable");
        }
    };

    // a) submitting Runnable to threadpool
    threadPool.submit(runnable);

    // b) submit Callable to threadpool
    threadPool.submit(callable);

    // c) create a thread for runnable manually
    final Thread thread_r = new Thread(runnable, "manually-created-thread");
    thread_r.setUncaughtExceptionHandler(exceptionHandler);
    thread_r.start();

    threadPool.shutdown();
    System.out.println("Done.");
}
}

I expect: Three times the message "Uncaught exception..."

I get: The message once (triggered by the manually created thread).

Reproduced with Java 1.6 on Windows 7 and Mac OS X 10.5.