Scriptblock exceptions are not returned in object-events

Question

Receive-Job yields no output on Start-ThreadJob- or Start-Job-jobs, when listening to Completed or Failed JobState changes with Register-ObjectEvent.

$PSVersionTable dump:

Name                           Value
----                           -----
PSVersion                      5.1.17763.2183
PSEdition                      Desktop
PSCompatibleVersions           {1.0, 2.0, 3.0, 4.0...}
BuildVersion                   10.0.17763.2183
CLRVersion                     4.0.30319.42000
WSManStackVersion              3.0
PSRemotingProtocolVersion      2.3
SerializationVersion           1.1.0.1

Steps to reproduce the issue:

$job = Start-ThreadJob -ScriptBlock { throw "Error trying to do a task" }

Register-ObjectEvent $job StateChanged -Action {
    Write-Host ('Job #{0} ({1}) changed state: {2}' -f $sender.Id, $sender.Name, $sender.State)
    if (($sender.State -eq 'Completed') -or ($sender.State -eq 'Failed')) {
        Receive-Job $sender
    }
}

When waiting for the job with Wait-Job (like suggested in this answer) the exception returns correctly, but I need a non-blocking approach. If you use Start-Job instead of Start-ThreadJob, the exception doesn't return in the event-based approach, too.

Any ideas on what I'm doing wrong?