When you try to use exceptions, you'll quickly encounter the following:
1. Your C++ code may be called by C code that knows nothing of exceptions.
2. Exceptions have big implications for API design. See for example GOTW #8 http://www.gotw.ca/gotw/008.htm , which acknowledges that "some interfaces can't be implemented in an exception-safe manner."
3. try/catch/throw have performance impact. Compilers optimize for the no-exceptions-thrown case, and the practical cost of throwing an exception can be prohibitively high. Google "Zero-cost Exception" for more.
The net result is that proper exception handling is difficult to incorporate gracefully, and "exceptions are all fatal errors" is a very reasonable position. Last I checked, Firefox is compiled with -fno-exceptions, and this is how Cocoa frameworks work as well.
In fact exceptions as implemented in C++ has to be one of my last favourite things about the language. They are an all or nothing proposition and yet were put in half heated and unchecked. Many years later the result I see is some or most programs have a catch(...) at some high level. Something went wrong, who knows what, can't even set the debugger to break at exceptions because they're being thrown everywhere all the time for flow control.
The original purpose in ML was definitely control flow. Or rather, controllable heuristic search in the context of a proof assistant. A heuristic could "give up" by raising an exception and a meta heuristic would then try something else or give up.
They worked well because memory handling is clean and automatic in ML and because proof assistants mainly work in their own little world with little to no I/O (apart from logging to a file/stdout/stderr).
Any C++ debugger worth using will allow you to break on certain exceptions and ignore others. Even gdb permits this: http://sourceware.org/gdb/onlinedocs/gdb/Set-Catchpoints.htm... Any decently designed C++ program will have a sane set of exception classes that will be easy to filter when debugging.
A simple example:
let prod = List.fold_left (fun acc a -> acc * a) 1.0 xs
Go read Sutter's _Exceptional C++_ or any of its follow-on books. It appears nearly impossible to write solid software when you allow exceptions into your set of control structures.
The best response to an exception is: Restart. Catch the exception in something like main(), take a dump or write some diagnostics, and restart your app. You'll have a system that is more reliable and of better quality than if you try to handle exceptions "correctly" in the face of non-exception-neutral code, 3rd party libraries that get things wrong, and your own bugs, which are going to be many, and deep, and subtle, and probably intractable.