Typically if you have database connections or other objects declared that, whether used safely or created prior to your exception, will need to be cleaned up (disposed of), then returning your error handling code back to the ProcExit entry point will allow you to do your garbage collection in both cases.
If you drop out of your procedure by falling to Exit Sub, you may risk having a yucky build-up of instantiated objects that are just sitting around in your program's memory.