According to the DimusWare site, Exceptional Magic was tested through Delphi version 2006. Does Exceptional Magic work with Delphi 2007? If not, does Delphi 2007/2009 provide the same or very similar features to Exceptional Magic?
You may be able to get Exceptional Magic to work with Delphi 2007, but I think you'd be better off using madExcept by Mathias Rauen at: http://www.madshi.net/madExceptDescription.htm
It's been upgraded right to Delphi 2009 and many good things have been said about it. It is free for non-commercial use, and $100 for commercial use.
Also see: http://stackoverflow.com/questions/72562/exception-handling-in-delphi
As far as Exception improvements in Delphi, Delphi 2007 fixed a problem with constructors and destructors. In Delphi 2009 there are some new exception classes. But these are not major improvements and will not enable you to do what a third-party exception handler will do.
We've been using Exceptional Magic in Delphi 2007 for 4 months now in our latest Beta version and we haven't seen any problems. This version of our software is used heavily by our engineering department (20 developers) and tested daily in our QA department (10 testers).