Raising and exception for a missing template is the way that Django handles their TemplateResponseMixin and subclasses, so I'm inclined to follow that pattern (see here: https://github.com/django/django/blob/master/django/views/generic/base.py#LC111).  Django-braces is another CBV mixin project that works similarly - this type of mixin may actually be something worth running by that project to see if they'd be up for merging it in.

I did think about the fact that other gets may be performed as part of a request with this mixin, but I have a feeling that other ObjectNotFound exceptions could be handled within the code itself as they may not be critical enough to stop the flow of action, whereas a URL not resolving would be most important.