Revert "throw new ..." fix in Managed C++ code

...where it is correct and 336353a87e6003e685aab87ea74a158546e1f297 "Related
rhbz#867808: More apparently bogus 'throw new ...' in C++ code" had changed it
by accident.

Change-Id: Id7fc1adf8c0068a3b59794d156b21f68b5ac7e72