You are right that the cancellation & exception propagation support in parallel algorithms was not documented; this will be fixed soon. Anyway, it is an official, supported feature. The __TBB_EXCEPTIONS macro however is internal, thus not documented.
Should you have any problems with using the feature in your apps, please let us know - either in the forum, or via Intel Premier Support.
You got ahead of me on the undocumented overloads on the parallel_foo stuff. The basic exception processing mechanism is documented in chapter 9 of revision 1.13 but in the 21.017 open source release the internal preprocessor symbol is off by default in Visual Studio, ia32 and em64t.
It's not immediately clear that turning it on in my code will help, since the DLL was compiled either with it or without it and I really don't know which.
Consider this letting you know, I guess. It looks like I'm going to need to build this puppy from source.
-swn