Why MainWindow_Closing event is not working?

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WPF

I have a MainWindows plus a MainViewModel.

MainViewModel _dataContext;
public MainWindow()
{
    InitializeComponent();
    Initialization();
    _dataContext = new MainViewModel();
    this.DataContext = _dataContext;
    _dataContext.ServerString =  "  Connected to Server " + ConfigurationManager.AppSettings["Server"];
}

Now I want to close the window by clicking the red x of the window.

void MainWindow_Closing(object sender, System.ComponentModel.CancelEventArgs e)
{
     try
     {
         cTokenSource.Cancel();
         e.Cancel = true;
         Application curApp = Application.Current;
         curApp.Shutdown();
      }

However I found that the code didn't reach this event. Why?

<Application x:Class="WpfLoadTesting.App"
             xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
             xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
             StartupUri="MainWindow.xaml">
    <Application.Resources>
    </Application.Resources>
</Application>