Been bitten by this one myself. It seems like since the console added the ability to click on the stack trace to go to the source (a good addition), it’s broken the console’s ability to go somewhere reasonable when you double click on the message.
I’ve noticed that if the top of the stack is in native code, it doesn’t try and take you to the uppermost C# line, but instead does nothing. The above is a perfect example of this – the top trace on the stack is a pointer to native code. If the top-most trace points to C# code, then double-clicking works.