Catching exception in TransactionScope bug - exception never caught

Question

I modified ImperativeTransactionSample of WF samples from WF_WCF_Samples and created situation when application execution is blocked. Here is code sample where Console.WriteLine("Stop") line is never executed:

using System;
using System.Activities;
using System.Activities.Statements;
using System.Transactions;

namespace Microsoft.Samples.ImperativeTransactionSample
{
    sealed class Program
    {
        static void Main()
        {
            Console.WriteLine("Start");

            try
            {
                using (System.Transactions.TransactionScope txScope = new System.Transactions.TransactionScope())
                {
                    new WorkflowInvoker(BuildWF()).Invoke();
                    txScope.Complete();
                };
            }
            catch (Exception ex)
            {
                Console.WriteLine("Exception : " + ex.Message);
            }

            Console.WriteLine("Stop");
            Console.ReadLine();
        }

        static Activity BuildWF()
        {
            return new Sequence
            {
                Activities =
                {
                    new TestActivity(),
                    new System.Activities.Statements.TransactionScope
                    {
                        Body = new Sequence
                        {
                            Activities =
                            {
                                new WriteLine { Text = "Hello" }
                            }
                        },
                    },
                }
            };
        }

        class TestActivity : NativeActivity
        {
            protected override void Execute(NativeActivityContext context)
            {
                using (System.Transactions.TransactionScope scope = new System.Transactions.TransactionScope())
                {
                    throw new Exception("Test");
                }
            }
        }
    }
}




The strange thing is that if I remove creation of TransactionScope activity inside workflow in BuildWF method everything works fine. What's the problem here and how I can avoid this situation?

static Activity BuildWF()
{
    return new Sequence
    {
        Activities =
        {
            new TestActivity(),
            //new System.Activities.Statements.TransactionScope
            //{
            //    Body = new Sequence
            //    {
            //        Activities =
            //        {
            //            new WriteLine { Text = "Hello" }
            //        }
            //    },
            //},
         }
     };
}