[Data] Allow User defined Exception to be caught.

[Bye-legumes]

Why are these changes needed?

close https://github.com/ray-project/ray/issues/46962

Related issue number

https://github.com/ray-project/ray/issues/46962

Checks

• [√] I've signed off every commit(by using the -s flag, i.e., git commit -s) in this PR.
• [√] I've run scripts/format.sh to lint the changes in this PR.
• [√] I've included any doc changes needed for https://docs.ray.io/en/master/.
  • [ ] I've added any new APIs to the API Reference. For example, if I added a method in Tune, I've added it in doc/source/tune/api/ under the corresponding .rst file.
• [ ] I've made sure the tests are passing. Note that there might be a few flaky tests, see the recent failures at https://flakey-tests.ray.io/
• Testing Strategy
  • [√] Unit tests
  • [ ] Release tests
  • [ ] This PR is not tested :(

[Bye-legumes]

@scottjlee Can you check this PR? Thx!