Entity Framework, DbContext, SaveChanges() Not Working

Entity Framework, DbContext, SaveChanges() Not Working

I'm having a strange issue with EF, DbContext and the SaveChanges()
method. I am using EF 5, .NET 4.5 and a LocalDB. I am using Code First EF
and have it create the Database automatically for me.
The problem is anything after the db.SaveChanges() call does not get
called. Here is an example:
private void Form1_Load(object sender, EventArgs e)
{
using (var db = new DataLayer.DataContext())
{
Group g = new Group {
Id = 0,
Gid = "019282",
Name = "Admin"
};
db.Groups.Add(g);
db.SaveChanges();
}
MessageBox.Show("Testing");
}
The MessageBox does not even show. Any idea what's going on? It's not
throwing any errors so I can't even debug it.
Edit:
I found the following in the output. Maybe that's the reason. But why
isn't an exception thrown?
A first chance exception of type 'System.InvalidOperationException'
occurred in EntityFramework.dll