Obviously, Jeff, you are confused by the identical name.
Hardware/CPU/OS/kernel exceptions are exceptions generated by the hardware and dealt with by the kernel, drivers, etc.
Language exception are a different mechanism altogether, that shares the same name, but is normally unrelated and is normally handled completely in user mode by the language VM or run time support library and the compiler. The reasons they are slow is basically their asynchronous nature which requires tracking of object lifetimes, and complicated stack unwinding (at least in C++).
An exception (heh) to this is the Structured Exception Handling mechanism invented and used by MS, which is maps certain kernel exceptions to software exceptions.