These posts all have good things to say about considerations when loading data. The example in this article was meant to show a particular way of using sets with try-catch and can be thought of as a basis for building more elaborate systems, not as a complete solution. I agree with trying to handle exceptions as early in the process as possible, in a staging or landing area. I also agree with keeping constraints to a minimum in a data mart. But I also generally go by the rule that everything can break at some time and everything should have exception handling.