There are also some nasty consequences for using exceptions in C++ if you don't know all the details of how they work. Since many games are written in C++ this may be a reasonfactor.
For example, in C++ throwing an exception in a destructor can have serious consequences. It can cause all kinds of undefined behavior and crashes, because you can get trapped in a situation where you have more than one active exception in flight. (See Item #8 of Effective C++ for more info on this.)