The reason they care called "exceptions" is they are not part of the normal behavior of the function (/block, algorithm) and aren't something that can be handled locally. Something that is exceptional is unusual, out of the typical scope of things. In English there is a phrase, "the exception to the rule" -- because the rule is what normally happens.

So if you are trying to hold a lock you don't throw an exception, you just wait and try again. Perhaps you can't reach that host; try again a few tiles before giving up and throwing an exception. But if you try to write to removable media and the device won't open, all, your program isn't going to mount a tape itself: throw an exception and let the problem be handled at a higher level.