На самом деле все работает
http://liveworkspace.org/code/4bc7aeaf104028b5c1a965b7c452a268, просто у MSVC странная точка зрения на это, вызывает ли он terminate_handler сказать не могу.
Добавлено через 1 минуту
18.8.3.2
set_terminate
[set.terminate]
terminate_handler set_terminate(terminate_handler f) noexcept;
1 Effects: Establishes the function designated by f as the current handler function for terminating
exception processing.
2 Remarks: It is unspecified whether a null pointer value designates the default terminate_handler.
3 Returns: The previous terminate_handler.
[[noreturn]] void terminate() noexcept;
1 Remarks: Called by the implementation when exception handling must be abandoned for any of several
reasons (15.5.1), in effect immediately after evaluating the throw-expression (18.8.3.1). May also be
called directly by the program.
2 Effects: Calls the current terminate_handler function. [ Note: A default terminate_handler is
always considered a callable handler in this context. — end note ]
Но MSVC на это как бы класть