Capture First Chance Exceptions Using Debug Diagnostic Tool

There are so many duplicate blogs on how to capture first changes exception here.

https://techcommunity.microsoft.com/t5/iis-support-blog/using-debugdiag-to-capture-memory-dumps-on-first-chance/ba-p/377131

https://techcommunity.microsoft.com/t5/iis-support-blog/collect-memory-dumps-for-a-first-chance-exception-when-it-occurs/ba-p/2276128 

Most detailed one is this 

https://techcommunity.microsoft.com/t5/iis-support-blog/collect-memory-dumps-for-a-first-chance-exception-when-it-occurs/ba-p/2276128 

I tried each one of them, still could not collect any dump on my process throwing 403 - Forbidden. Not sure how can we trace that.