Hi Sander,
I guess this must be some weird interaction between PI's watchdog thread and VS 2008. The watchdog thread is launched at PI's startup and is always running in the background as an idle priority thread. Its main purpose is watching for new instances of the PI Core application, and it will make possible (in a future release) the new multiple instance communication/sharing features. It also watches for crashes to keep track of them. The watchdog thread is terminated automatically when PI's main thread terminates. However VS 2008 is doing something odd that prevents this from working as it should do. This is the best 'candidate' that I can figure out for this issue. This doesn't happen on Eclipse/gdb.
I'll try to investigate this further to see if I can find some workaround. Sorry for the inconvenience.