Please first consult section "9 Exceptions" in "Reference (Open Source).pdf" revision 1.13 or later (possibly in the Commercial Documentation). If it doesn't contain the right information for you, please come back here with a more specific question.
The code implies exact propagation of exceptions across threads; and this is not possible until C++0x. TBB uses captured_exception and movable_exception classes to use with its parallel algorithms. The former is enough to transfer information about an std::exception and its derivatives, while the latter is useful to transfer some user-defined data. In addition to the Reference manual, you might read a series of blogs written by Andrey Marochko.