Exception

   Exception = class(TObject)
    public
      constructor Create(const msg : string);
      constructor CreateFmt(const msg : string; const args : array of const);
      constructor CreateRes(ResString: PString);
      constructor CreateResFmt(ResString: PString; const Args: array of const);
      constructor CreateHelp(const Msg: string; AHelpContext: Longint);
      constructor CreateFmtHelp(const Msg: string; const Args: array of const;
        AHelpContext: Longint);
      constructor CreateResHelp(ResString: PString; AHelpContext: Longint);
      constructor CreateResFmtHelp(ResString: PString; const Args: array of const;
        AHelpContext: Longint);
      Function ToString : String; override;  
      property HelpContext : longint read fhelpcontext write fhelpcontext;
      property Message : string read fmessage write fmessage;
 
   end;

raise exception.create('Cas non défini, à implementer...')
ou formaté :
raise exception.createFmt('Cas [%d] non défini, à implementer...',[varType(v)])

try
    MaProcedureQuiDeclencheUnException;
except
    on E:EOleException do
        Writeln(Format('EOleException %s %x', [E.Message,E.ErrorCode]));
    on E:Exception do
        Writeln(E.Classname, ':', E.Message);
end;

Apparement TApplication aurait une propertir CaptureException (public) pour gérer les exceptions…. a creuser.

procedure TApplication.RunLoop;
begin
  repeat
    if CaptureExceptions then
      try // run with try..except
        HandleMessage;
      except
        HandleException(Self);
      end
    else
      HandleMessage; // run without try..except
  until Terminated;
end;