Vlad Horsun wrote:
    Откуда дровишки ?

Из хелпа по try...except, вестимо:
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If an exception is raised during execution of the initial statements list, either by a raise statement in the statements list or by a procedure or function called from the statements list, an attempt is made to "handle" the exception:

* If any of the handlers in the exception block matches the exception, control passes to the first such handler. An exception handler "matches" an exception just in case the type in the handler is the class of the exception or an ancestor of that class. * If no such handler is found, control passes to the statement in the else clause, if there is one. * If the exception block is just a sequence of statements without any exception handlers, control passes to the first statement in the list.

If none of the conditions above is satisfied, the search continues in the exception block of the next-most-recently entered try...except statement that has not yet exited. If no appropriate handler, else clause, or statement list is found there, the search propagates to the next-most-recently entered try...except statement, and so forth. If the outermost try...except statement is reached and the exception is still not handled, the program terminates.
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А куда по-твоему он еще может попасть? Raise выкидывает exception на более верхний уровень, которым для твоего треда является уровень Application, т.е. основной поток VCL, который перехватывает все ошибки подряд (если, конечно ты не отрубил его обработчик ;-) )

PS. Учите матчасть, коллега ;-)

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