SetUnhandledExceptionFilter on windows to handle unhandled exceptions not working

I am on Unreal Engine 4.25.

In my code I am calling *SetUnhandledExceptionFilter *to handle unhandled exceptions. But seems like its not getting called properly. I am getting error that exception is not handled properly.
Anything special I need to do to make this working ?

I have tried using __try & __except, its working fine but I need to catch unhandled exceptions. Please suggest something.