Show Validation Error in UserControl

I am not sure why the validation state doesn't get reflected in my user control. I am throwing an exception but for some reason the control doesn't show the validation state...When I use a standard Textbox (Which is commented out right now in my example) on my MainPage it shows the error state, not sure why its not when its wrapped.

I have slimmed this down so basically its a user control that wraps a TextBox. What am I missing??

MyUserControl XAML:

<UserControl x:Class="ValidationWithUserControl.MyUserControl"
    xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
    xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
    xmlns:d="http://schemas.microsoft.com/expression/blend/2008"
    xmlns:mc="http://schemas.openxmlformats.org/markup-compatibility/2006"
    mc:Ignorable="d"
    d:DesignHeight="300" d:DesignWidth="400">

    <Grid x:Name="LayoutRoot" Background="White">
        <TextBox x:Name="TextBox"/>
    </Grid>
</UserControl>

MyUserControl Code Behind:

public partial class MyUserControl : UserControl
{
    public MyUserControl()
    {
        InitializeComponent();

        this.Loaded += new RoutedEventHandler(MyUserControl_Loaded);
        this.TextBox.Unloaded += new RoutedEventHandler(TextBox_Unloaded);
    }

    public string Value
    {
        get { return (string)base.GetValue(ValueProperty); }
        set { base.SetValue(ValueProperty, value); }
    }

    public static DependencyProperty ValueProperty =
        DependencyProperty.Register(
        "Value",
        typeof(string),
        typeof(MyUserControl),
        new PropertyMetadata(null));

    private void MyUserControl_Loaded(object sender, RoutedEventArgs e)
    {
        this.TextBox.SetBinding(TextBox.TextProperty, new Binding()
        {
            Source = this,
            Path = new PropertyPath("Value"),
            Mode = BindingMode.Two