Throwing exceptions in application code has nothing to do with processor rings. It’s all the same ring anyway.
First and foremost, throwing exceptions is software architecture decision. In general, you throw them when something goes wrong, which is a point where you don’t really care if it takes a bit longer to display error message to the user.
That said, exceptions in .NET are slow as hell, and that might be why .NET programmers tend to use them less than, say, Java programmers. I once saw a speed benchmark comparing throwing exceptions in different languages, and .NET was 5 or 6 times slower than all other languages, including C++ and Java.