When you press Shift + F7, Shift + F8 Olly set trap flag and moves you on next instruction (in kernel32 "exception handlers" handler, root handler), when you press Shift + F9 control passed to application exception handler, and when press any of F7, F8 or F9 just nothing happen because Olly don't know who should handle exception

here is some useful links:
hxxp://www.jorgon.freeserve.co.uk/ExceptFrame.htm
hxxp://www.microsoft.com/msj/0197/exception/exception.aspx

if you don't want press Shift + F9 many times (if many exceptions occurs) just go to:
Options -> Debugging options -> Exceptions -> Ignore also following custom exceptions or ranges -> Add last exception