Yes, the only reason for a Try Catch, (as in ordinary code) is if you can "Handle" the error, i.e., you can correct for the error and successfully complete whatever function the procedure was tasked to do, or, if want to do something with the error before returning it to the client (like modify the message, or store it in an error log table or send someone an email, etc. (althought i'd prefer to do most of those things from the DAL layer )
Technically, however, the catch clause is not returning an error. it is just returning a resultset with error information. This is very different, as it will not cause an exception in client code. This is why your conclusion is correct, ou should just let the original error propagate directly back to the client code.
As you have written it, no error will be returned to the client. As in ordinary code, if you do not handle (correct for) the error in a catch clause, you should always rethrow it (in sql that means Raiserror function) in a catch clause. What you have done above, in general is bad, the client code may or may not have any capability to properly deal with
a completely different recordset (one with error info) from what it was expecting. Some calls (like Inserts updates or deletes) may not be expecting or looking for a returned recordset at all... Instead, if you want or need to do something with the error in the procedure before returning it to the client, use Raiserror()
function
BEGIN TRY
-- Generate divide-by-zero error.
SELECT 1/0;
END TRY
BEGIN CATCH
-- Other code to do logging, whatever ...
Raiserror(ERROR_MESSAGE(), ERROR_NUMBER(), ERROR_STATE() )
END CATCH;