MODx does not utilize
PHP exception handling, because it is an application intended to run on both PHP 4 and 5, whereas exception handling is a feature only available in PHP 5.
You can look into $modx->messageQuit(), though I hate that one, which stops the parser and displays the canned MODx Parser Error with details, or $modx->sendErrorPage() to have the site automatically forward and produce the page specified in your error_page configuration setting.
In 0.9.7 there will also be the ability to specify a custom class to be registered in MODx as the PHP error handler, and will include a default implementation. Beyond that, I can envision PHP 5-specific releases with much more robust solutions by way of true exception handling.