I think the best is a little of both ways. For instance in python:

  x = some_dict['meh']

Will raise if 'meh' doesn't exist. If you believe that 'meh' should be there in your program, it's fine to 'let it raise an exception'.

However, if 'meh' could be there, it's better to use an error style such as:

  x = some_dict.getDefault('meh', 'some-neutral-value')

And continue without raising because there's no need to raise as there's nothing exceptional here.

Ideally, raising an exception should have the meaning "Hey, something is wrong here and I don't know what to do next". And someone in the call hierarchy would handle this and say "Oh, the connection stopped.. that's why it's not working. I'll reconnect and call you again".

And note that this "parent handling" might be way higher than where the problem occurred..