Hi Joris,
Unfortunately there is a bug with exception assistants that cause flavored projects in VS not to work well. Since WAP is built as a flavored project, it causes problems with it -- and can lead it to crash. That is why we have the dialog strongly recommending people turn it off.
We will be fixing this with the SP1 release of VS 2005 (since it requires a change to core VS). But with the WAP release that is coming out next week you'll want to turn it off for web projects.
Hope this helps,
Scott