(from MSDN)
TRY…CATCH constructs will not fire:
1. Warnings or informational messages that have a severity of 10 or lower.
2. Errors that have a severity of 20 or higher that stop the SQL Server Database Engine task processing for the session. If an error occurs that has severity of 20 or higher and the database connection is not disrupted, TRY…CATCH will handle the error.
3. Attentions, such as client-interrupt requests or broken client connections.
4. When the session is ended by a system administrator by using the KILL statement.
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