Wrapping each and every RemObjects and DataAbstract Service Method Call

Remoting SDK
2

you can use HTTPServer.OnCustomResponseEvent event as described at Using OnCustomResponseEvent in a ROSDK Server

Note: you may need to write your exception into stream manually like

MyException := Exception.Create(‘sdf’);
aResponseStream.Size := 0;
lMessage.InitializeExceptionMessage(aTransport, '', lMessage.InterfaceName, lMessage.MessageName);
lMessage.WriteException(aResponseStream, MyException);