'Add PostSharp to this project' no action

Question

I added PostSharp via NuGet (PostSharp.4.0.40, but I also checked the .39 version), created a class inheriting from OnExceptionAspect (e.g. CustomExceptionBehaviour - I tested previously this aspect working for me in a sample Console application), how ever on any exception in the method decorated with CustomExceptionBehaviour the OnException behaviour doesn't get executed (and checking the generated assembly indeed there is no try-catch inside the method).

The project build output doesn't contain any warnings about PostSharp. I checked into the project properties, PostSaharp tab and found the 'Add PostSharp to this project' button but when I click on it nothing happens ...

Any ideas why it's not working ?