This would make the error pass silently, possibly leaving the program in an inconsistent state. It is probably better to call std::terminate() instead, which is what C++ does when an exception is thrown when another exception is active.
~finally_type() {
try {
function();
} catch (...) {
std::throw_with_nested(std::logic_error
("Exception thrown from \"finally\"."));
}
}
Hence, in most cases where the scope guard pattern is used (to guarantee exception safety), your code is basically equivalent to calling std::terminate().
But anyway, the problem is still programmer error. Just as you shouldn’t throw an exception from a destructor, you shouldn’t throw an exception from a “finally”, because it is, by definition, run in a destructor. So, sure, calling std::terminate() explicitly makes about as much sense as anything, but I’d prefer to ignore (and perhaps log) such erroneous exceptions, for reasons of stability.