I have solved this, but thought it was worth a post as I didn't find a fix online.
Using Visual Studio 2019, Intel Fortran 2019U5 on Windows 10. The application is a C# WPF main calling a Fortran DLL.
When debugging with /check:bounds or /check:shape, I got a pop-up window with "Visual Fortran run-time error" but Visual Studio no longer broke at the line of code with the error. It used to work, but since then I had upgraded VS and made other changes.
I eventually found that the problem was the Visual Studio exception handling settings. In Debug > Window > Exception Settings I need to (re)set to break when Win32 Exception 0xC0000005 Access Violation is thrown. This would be a useful addition to the manual. Perhaps a note documenting which exceptions are raised and the importance of catching them in the development environment.
Root cause was a colleague who had fiddled with the settings and committed the change to the VS project.