根据MSDN 无：

数据绑定引擎没有赶上由
用户提供的转换器抛出的异常。由转换
方法抛出的任何异常，或由该
转换方法调用，被视为运行时错误方法抛出任何未捕获的异常。通过返回DependencyProperty.UnsetValue处理
预期的问题。

The data binding engine does not catch exceptions that are thrown by a user-supplied converter. Any exception that is thrown by the Convert method, or any uncaught exceptions that are thrown by methods that the Convert method calls, are treated as run-time errors. Handle anticipated problems by returning DependencyProperty.UnsetValue.

话虽这么说，我个人使用引发NotSupportedException 时，无论是转换或 ConvertBack 不支持的方法。

That being said, personally I use the NotSupportedException when either the Convert or ConvertBack method is not supported.