I wonder how much we need to to help the user understand why/where it failed.

In terms of where: should we be noting the parameters and the fold number that broke? Perhaps not if all non-failing folds scored > 0, in which case it's easy enough to inspect the search results.

In terms of why: Firstly, `str(e)` doesn't say a lot, and `repr(e)` is better, but it's still not a full traceback. Providing a switch to raise errors instead might benefit.