Operative words being “probably take a trip through the OS kernel.”
Precisely. “Probably” does not mean “always”.
Nowhere in this article does he state that either Windows SEH or the exception models built on top of it (which by the way include both .NET and Visual C++, as he explicitly says) will always go into kernel mode, as you and others were implying.
“Probably” should refer to the cause of the exception, or related processing, when an exception occurs in the context of I/O. I would be extremely surprised if an Int32.Parse exception did in fact transition to kernel mode.