wxWidgets had been started long before the exceptions were introduced in C++ so it is not very surprising that it is not built around using them as some more modern C++ libraries are. For instance, the library doesn't throw exceptions to signal about the errors. Moreover, up to (and including) the version 2.4 of wxWidgets, even using the exceptions in the user code was dangerous because the library code wasn't exception-safe and so an exception propagating through it could result in memory and/or resource leaks, and also not very convenient.
Starting from the version 2.5.1 wxWidgets becomes more exception-friendly. It still doesn't use the exceptions by itself but it should be now safe to use the exceptions in the user code and the library tries to help you with this. Please note that making the library exception-safe is still work in progress.