I've been doing quite a bit of work for my upcoming SQL University class next and in it is a Script Component.  These are the ones that live inside of a Data Flow task, which means: "No Breakpoints!".  What a pain that can be.  I had red boxes being tossed up left and right.  I knew I was getting errors, just not where.  Then it dawned on me: send the output down the data flow!  It was brilliantly simple.  In my example I use the FileName column for this.  I was debugging so I used whatever column was handy.  I set the column equal to the output of the exception te.ToString().

Then to see the output, I simply connect a Data Viewer.

No need to build elaborate mechanisms like pop-up boxes.