Yeah, Emscripten does support exceptions, but I don't think Emscripten creates WASI yet? It would be useful to separate out the exception handling from Emscripten to a runtime library so that other projects could use it, without relying on the entire Emscripten toolchain.
I suspect we'll get exception handling at some point, but for now so much stuff just does not work without it. The whole idea of WASI is that it is not JavaScript-specific, so needing some JavaScript code just to get this basic feature is kind of surprising.