Exception breakpoint should be added with notify on terminate by default.

python/src/com/jetbrains/python/debugger/PyExceptionBreakpointProperties.java

@@ -39,6 +39,7 @@ public class PyExceptionBreakpointProperties extends ExceptionBreakpointProperti
 
   public PyExceptionBreakpointProperties(@NotNull final String exception) {
     myException = exception;
+    myNotifyOnTerminate = true;
   }
 
   @Override