Beware of secondary exceptions

We were contacted by a client who complained that EurekaLog was generating an error report in the wrong place. In fact, the client had an expected exception that he wanted to hide by showing a simple message instead. The client kindly showed his code:

try
  Query.Delete; // - an exception is raised here
except
  Query.Transaction.Rollback;
  ShowMessage('Sorry, could not delete the report');
  Exit;
end;

What's happening? Does EurekaLog really ignore user code?