Yes, raising an exn in OCaml is close to jumping to an address stored in a register. https://stackoverflow.com/a/8567429

As a result, raising and catching exns in OCaml is cheap. List.fold_until in Base, for example, is implemented with exceptions: https://github.com/janestreet/base/blob/ae169dc8097b3da8e99d... (With_return is internally implemented by raising an exception in a try-with.)

Implementations of functional programming languages often have powerful, yet fast!, non-local control-flow primitives. GHC recently sprouted delimited continuations (https://ghc.gitlab.haskell.org/ghc/doc/users_guide/9.6.1-not...), for example, and Lisps have had that for much longer. It's easy to program in an imperative language for a long time and think that straight-line control flow is the end-all, be-all for performance—but it doesn't have to be the case.