The SetValue component does not throw any exceptions, as you indicate.
If an exception does occur, the process will stall - you will be notified of this via email, you can see the stalled process in the Adminui, fix the process, and then retry the stalled action.
I agree in general that:
However, the types of exceptions you describe are errors in the process, that simply need to be fixed before going into production.
Handling exceptions at runtime due to variations in process data, etc, are better handled by exception routes.
I hope that a) I understood and b) this helps.