command error reporting (exceptions)

I have a VsPackage that registers a menu command. In external process I instantiate DTE and execute this command using DTE2.ExecuteCommand(). The command works quite ok in most cases, but from time to time it may throw an exception (no internet connection, bad parameters, etc.). However, the exception thrown does not get passed to the calling process - it gets swallowed somewhere in the bowels of Visual Studio. It there any way to return any kind of error code back from my command to the calling process?