I certainly wouldn't advocate change any across-the-board changes to
how errors are handled in Octave-- now or in the future. But I think of
mex files as basically an "external" C interface to Octave or matlab
(as opposed to oct files) and so it is worthwhile to provide as much
flexibility as possible to the writers of those.

My thought was just to use the setjmp/longjump (or similar) mechanism only
within the mxErr* functions. I don't know much about the internals of
Octave but I assume there is a place in the code where there is some
data structure conversion and then the mex shared library invoked.
Seems like this would be a good place to set up the setjmp/longjmp
mechanism. Then, once the execution point is no longer in the mex
shared library, a C++ exception can be safely thrown.

>Maybe something in the compatibility
>between the two compilers and how exceptions are thrown/caught?

My understanding is that this is generally a problem between different
C++ compilers. After googling around and also experimenting, I have not
been able to find a C++ exception type that can be thrown by a VC++ DLL
and caught by a MinGW main program.

I believe that the setjmp/longjmp mechanism used in Octave 4.0 for
implementing mexErr* was superior to the C++ exceptions used in 4.2.
I think it is perfectly reasonable to tell users that any exception
thrown in a mex module should also be caught in that module. So
having Octave itself throw exceptions in the mexErr* functions is a
bad design decision IMHO.

By the way, matlab is built with VC++ on windows. But they do support
writing mex functions with MinGW by, presumably, not throwing exceptions
in the mexErr* functions.

I'm using VS Express 2013.

I'm almost certain this change in behavior is due to a
change to the way errors are handled in mex.cc. The
routine mexErrMsgIdAndTxt calls verror_with_id(); eventually
a C++ exception is thrown which is not caught and so
causes Octave to terminate.

I have a moderately large C++ application that builds and
executes fine-- unless an error message routine is called.

With Octave 4.0.x, I was able to build mex files with Visual Studio with no problems. With 4.2.0-rc2, there apparently is now an incompatibility between the C++ exception handling in VS and Octave/MingW.

When my code calls, e.g. mexErrMsgIdAndTxt from the mex dll built with VS, Octave crashes. If I run Octave in gdb, I get the following error message:
----------------------------------------------
terminate called after throwing an instance of 'octave::execution_exception'

This application has requested the Runtime to terminate it in an unusual way.
Please contact the application's support team for more information.
panic: Aborted -- stopping myself...
attempting to save variables to 'octave-workspace'...
save to 'octave-workspace' complete

Program received signal SIGSEGV, Segmentation fault.
0x6feaec92 in libstdc++-6!_ZSt18_Rb_tree_incrementPSt18_Rb_tree_node_base ()
   from C:\octave\Octave-4.2.0-rc2\bin\libstdc++-6.dll
-----------------------------------------------------

Not surprisingly, the mex dll works fine if built with mkoctfile. But I have found the VS GUI to be a much more convenient environment for building mex modules and am disappointed this appears to be no longer possible.