Why unhandled exception in a background thread doesnt crash the app domain?

I am completely puzzled. I was so sure that .NET shuts the whole application domain if there is uncaught exception in a thread that I never tested this.

However I just tried the following code and it doesn't fail... Could anyone please explain why?

(Tried in .NET 4 and 3.5)

static void Main(string[] args)
{
    Console.WriteLine("Main thread {0}", Thread.CurrentThread.ManagedThreadId);

    Action a = new Action(() =>
    {
        Console.WriteLine("Background thread {0}", Thread.CurrentThread.ManagedThreadId);

        throw new ApplicationException("test exception");
    });

    a.BeginInvoke(null, null);

    Console.ReadLine();
}