HttpWebRequest Exceptions under .NETCF

While testing code using HttpWebRequest it can be observed in the debug output that a number of exceptions are thrown within the GetResponse call of a HttpWebRequest. If you run exactly the same code on the desktop you don't see this behaviour. For reference the following is a simple example which displays the issue:-

System.Net.WebRequest request = System.Net.WebRequest.Create("http://www.microsoft.com");
System.Net.WebResponse webResponse = request.GetResponse();
webResponse.Close();

Since the exceptions are caught it doesn't stop the code from running but I considered it annoying enough to investigate and try to find the cause. Here is the typical output during the call to GetResponse:-

A first chance exception of type 'System.IO.IOException' occurred in mscorlib.dll
A first chance exception of type 'System.UriFormatException' occurred in System.dll
The thread 0x577c6eaa has exited with code 0 (0x0).
The thread 0xaf16af8a has exited with code 0 (0x0).
A first chance exception of type 'System.UriFormatException' occurred in System.dll
The thread 0x577c6eaa has exited with code 0 (0x0).
The thread 0xaf16af8a has exited with code 0 (0x0).
The thread 0xaf399a02 has exited with code 0 (0x0).

I eventually tracked it down to an issue with WebProxy. It occurs if you do not specify a Proxy or use the system proxy:-

request.Proxy = System.Net.GlobalProxySelection.Select;

If you won't be using a proxy you can set the Proxy property to an empty WebProxy:-

After making this change you'll see the method progress without any exceptions - you'll just see the 5 thread exit notifications in the output. Whether or not this makes a noticeable difference to performance I have yet to discover but it does indicate an underlying issue since the desktop has no such problem.