I can probably do it either way - because I'm catching all errors in a common controller class and altering them before sending them along. I could probably manage it so that I change them over to DirectExceptions.
However, the reason I want to catch on ALL errors is that, typically, the user would get a 500 page if a server error occurs. With a full AJAX app, these requests could just "disappear" from the user's point of view. (you see it in firebug just fine, but the user would see nothing) By having ALL exceptions get sent through, I can show the user that their attempt failed and collect more information.