According to this answer: https://stackoverflow.com/a/537831/2773515, on your first linked question on your post, I think the best practices that you mentioned is clarified there, so, IMO, no, exceptions didn't manipulating anything based on exception != error "directive". Your validation class will be responsible to check and manipulate entity throwed by your custom exception which is responsible to alert your application that one business rule was violated.

Maybe you should consider not returning data at all on custom exception nor throwing an exception at all, and your validation class returning custom class with manipuated entity and an false state result.