This is actually a problem, and apart from setting up your own error handler, there should probrably have an option to defer throwing the exceptions till the Verify() is called (actually using VerifyWithTimeout() already rethrows these exceptions and it makes more sense to use it in this case as this is a Threaded tests, but TypeMock doesn't have an option not to throw these errors in the first place).
Even with this you might still have problems testing failures in your code.
I will see if we can add this to the coming version
