GDB breaks on throw, but not regular exceptions - c++

Question

I am trying to use gdb to debug my c++ program (specifically in VS Code, but this also happens using the command line). I am trying to have gdb break on exceptions so I can have a stack trace, however gdb only breaks on exceptions that I have thrown and not "normal" exceptions.
A minimal reproducible example of this is the following:
example.cpp
#include <vector>
int main() {
std::vector<int> a{};
a.push_back(3);
a.at(2) += 1;
}
Run in command line
g++ example.cpp -o example.exe -g -Wall
gdb example.exe -ex "catch throw" -ex "catch catch" -ex "enable pretty printing" -ex run
GDB outputs
GNU gdb (GDB) 12.1
Copyright (C) 2022 Free Software Foundation, Inc.
License GPLv3+: GNU GPL version 3 or later <http://gnu.org/licenses/gpl.html>
This is free software: you are free to change and redistribute it.
There is NO WARRANTY, to the extent permitted by law.
Type "show copying" and "show warranty" for details.
This GDB was configured as "x86_64-w64-mingw32".
Type "show configuration" for configuration details.
For bug reporting instructions, please see:
<https://www.gnu.org/software/gdb/bugs/>.
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Reading symbols from example.exe...
Catchpoint 1 (throw)
Catchpoint 2 (catch)
0 printers enabled
195 of 195 printers enabled
Starting program: H:\file\path\here\example.exe
[New Thread 11788.0x868]
[New Thread 11788.0x2180]
[New Thread 11788.0x31f4]
30
terminate called after throwing an instance of 'std::out_of_range'
what(): vector::_M_range_check: __n (which is 2) >= this->size() (which is 1)
[Thread 11788.0x31f4 exited with code 3]
[Thread 11788.0x2180 exited with code 3]
[Thread 11788.0x868 exited with code 3]
[Inferior 1 (process 11788) exited with code 03]
(gdb)
If I throw std::out_of_range("oops"); in example.cpp however, it does break:
Thread 1 hit Catchpoint 1 (exception thrown), 0x00007ff7dc701598 in __cxa_throw ()
(gdb)
I am on windows, and using msys2, gdb and g++ version 12.1.0.
I've tried break __cxa_throw and many other variations as suggested on other forums, but can't get anything to work.