There is another option that allows you to dump exceptions even on windows service startup. With help of "Image File Execution Options" you can configure procdump as you service debugger.
reg add "HKLM\Software\Microsoft\Windows NT\CurrentVersion\Image File Execution Options\{your service executable name. f.e. notepad.exe}" /v "Debugger" /t REG_SZ /d "{procdump path}\procdump -ma -accepteula -e 1 -t -n 10 -x {dumps output folder}" /f
Don't forget to replace curly brackets with your values.
Please check the meaning of the procdump command line parameters, -ma, -e 1, -t, -n 10 here
To uninstall procdump:
reg delete "HKLM\Software\Microsoft\Windows NT\CurrentVersion\Image File Execution Options\{your service executable name. f.e. notepad.exe}" /va /f