[MStrehovsky]

TL;DR: It's work.

The way exceptions are done in .NET is by keeping track of extra metadata to be able to unwind methods (remove them from the execution stack) and execute handlers. That way the overhead of exception handling is close to zero if no exception is ever thrown. This requires quite a bit of infrastructure.

Propagating exceptions as error codes would come with execution time costs even if no exception is thrown and would have to be written from scratch (since .NET doesn't do it this way).

Either approach requires more investment than I'd want to put into it right now.