There is error handling support already, although it would be very nice to be able to capture and handle errors at a global scale so I support your suggestion.
Btw, the current way to handle errors is like this:
alias test {
; Try to execute a command that doesn't exist.
nonexistantcommand
; Make sure the code beyond the error label isn't executed normally.
return
; Error label (This is where mIRC jumps to if it encounters an error)
:error
; Try to fix the error, or in this case just echo it.
echo -a Error! $error
; Hide the default display.
reseterror
}