I'm thinking unload is called all but at hard exist in 4.7. But, if you are playing around with older versions of .Net, try doing this in your loading method:
e.Handled = true;
I don't think older versions will unload until loading is handled. Just posting because I see others still asking this question, and haven't seen this proposed as a solution. I only touch .Net a few times a year, and ran into this a few years back. But, I wonder if it's as simple as unload not being called until loading has finished. Seems like it works for me, but again in newer .Net it seems to always call unload even if loading isn't marked as handled.