I've installed the MPX drivers and successfully threw the exception when running some sample code within a console project. However when trying to put the same sample code (and same additional option) in a win32 project the exception was not thrown. Running dumpbin mpx is in the Debug Directory section for the console application, but not the win32 project. Similarly the assembly has the mpx commands in the console application, but not in the win32 project.
This was created using the standard Visual Studio new project with no modifications other than the same code and adding the additional option.