I've managed to get through my C++ game programming career so far virtually never touching exceptions but recently I've been working on a project with the Ogre engine and I'm trying to learn properly. I've found a lot of good questions and answers here on the general usage of C++ exceptions but I'd like to get some outside opinions from here on whether Ogre's usage is good and how best to work with them.

To start with, quoting from Ogre's documentation of it's own Exception class:

OGRE never uses return values to indicate errors. Instead, if an error occurs, an exception is thrown, and this is the object that encapsulates the detail of the problem. The application using OGRE should always ensure that the exceptions are caught, so all OGRE engine functions should occur within a try{} catch(Ogre::Exception& e) {} block.

Really? Every single Ogre function could throw an exception and be wrapped in a try/catch block? At present this is handled in our usage of it by a try/catch in main that will show a message box with the exception description before exiting. This can be a bit awkward for debugging though as you don't get a stack trace, just the function that threw the error - more important is the function from our code that called the Ogre function. If it was an assert in Ogre code then it would go straight to the code in the debugger and I'd be able to find out what's going on much easier - I don't know if I'm missing something that would allow me to debug exceptions already?

I'm starting to add a few more try/catch blocks in our code now, generally thinking about whether it matters if the Ogre function throws an exception. If it's something that will stop everything working then let the main try/catch handle it and exit the program. If it's not of great importance then catch it just after the function call and let the program continue. One recent example of this was building up a vector of the vertex/fragment program parameters for materials applied to an entity - if a material didn't have any parameters then it would throw an exception, which I caught and then ignored as it didn't need to add to my list of parameters. Does this seem like a reasonable way of dealing with things? Any specific advice for working with Ogre is much appreciated.