ZF2 is all about the explicit configuration of dependencies and events. Error handling is subject to that, as well. Error handling can be easily configured, but you have to know where. On the other side of the spectrum, where you want to be completely in control, you can implement your own exception strategy, and then it is completely up to you what you do with the exception.
If you just want to migrate an existing application, then think of it in terms of what you had in ZF1 and how it translates to ZF2. In ZF1, you had an
ErrorController, and you could configure the application to display the exceptions—or not—by configuring