Test fails if an Exception is thrown in another part of the SUT

I have a system like this

class Sut
{
    IRepository _repo;

    public Sut(IRepository repo) { _repo = repo; }

    async Task Handle(Request request)
    {
         var entity  = new Entity(request.Id); //=> if Id is not ok the Entity throws Exception

         _repo.Save(entity);
    }
}

This is the test

        [Fact]
        public async Task Test_Save()
        {
            Mock<IRepository> repositoryMock = new Mock<IRepository>();

            repositoryMock
                .Setup(repo => repo.Save(It.IsAny<Entity>()))
                .Returns(Task.CompletedTask);

            var sut = new Sut(repositoryMock.Object);

            /// Act
            Action action = async () => await sut.Handle(new Request { Id = default(Guid)});

            /// Assert 
            Assert.Throws<Exception>(action);
            repositoryMock.Verify(repo => repo.Save(It.IsAny<Entity>(), Times.Never);
        }

So what it does is, the Entity has a check for default Guid being passed to it. If default value is passed it will throw an Exception.

The exception is thrown but the test fails with this message.

Message: Assert.Throws()

Failure Expected: typeof(System.Exception)

Actual: (No exception was thrown)

The test never calls

 repositoryMock.Verify(repo => repo.Save(It.IsAny<Entity>(), Times.Never);

it will break at this line

Why is that and how to solve this situation ?

Assert.Throws<Exception>(action);