Generally and language-agnostically speaking, it is not correct assumption that exceptions are expensive. It depends on many factors.
Generally, exception is a generic way to signal an error condition and it is independent of any form of presentation. Sending out a page with error message would make the error reporting too tightly coupled with presentation, with UI. It is usually not a good idea in terms of flexible and scalable design.
The question is general and language-agnostic, thus the answer does not go deeply into details.
By the way, depending on a programming language, design of error handling, and number of other factors, approaches can be different. However, it's a good idea to learn about various options:
Don't worry too much about the what()
message. It's nice to have a message
that a programmer stands a chance of
figuring out, but you're very unlikely
to be able to compose a relevant and
user-comprehensible error message at
the point an exception is thrown (...)
Given the guidelines above, after a while of consideration, it is not that clear what such error web page should display, what level of information, very technical or more user-friendly. Using exceptions, it gives more flexibility on various levels of the system as one of rules it catch when you need to handle (i.e. display error) ignore otherwise