Wow, I just got back a huge project in C# from outsourced developers and while going through my code review my analysis tool revealed bunches of what it considered bad stuff
Generally no, in fact no in 99% of all cases, BUT
There are exceptions. One one project I worked on we used a third party library to handle a TWAIN device. It was buggy and under some hardware combinations would throw a null pointer error. However we never found any circumstances when it didn't actually manage to scan the document before it did that - so catching the exception was entirely rational.
So I think if it's your code that's throwing the exception then you should always check it, but if you're stuck with third party code then in some circumstances you may be forced to eat the exception and move on.