Remember that object and class implementations are specific for programming language and compiler. I.e. a Delphi application doesn't know how to work with objects/classes from (for example) Microsoft C++ (and visa versa). This means that hi-level exception raised in DLL could not be properly handled by host application, unless both DLL and host are compiled by the same compiler and exception class uses the virtual destructor.
Also note that mixing OS and language exceptions within same module is confusing/problematic thing.
Therefore, APIs for DLLs usually do not use exceptions as a way to report errors. Instead: functions can use error codes - such as numeric codes, success/failure flags (booleans) and so on. There are de facto standard ways to report errors - provided by operating system (for example: GetLastResult, HRESULT - on Windows). However, 3rd party DLLs may use arbitrary error reporting method.