Actually, pretty much everything other than an "initialize" section (which I can already handle with a try/catch in C++) will happen as a consequence of a callback into the scripting system as the consequence of some real-time event, such as time passing or data arriving and so forth. The issue is not so much informing the user where the error occurred, but rather just not having an error bring down the app. I'm seeing this happen if a script has a reference to a function that is not defined (typically due to a typo).
I could certainly wrap all the callbacks in try/except clauses but these callbacks can happen many thousands of times per second. The thing is, if we know in advance that the code is correct syntactically, then we are much less concerned about this issue.