Hmm. This purpose is indeed valid: to show the user in the GUI that something has gone wrong.
So although my initial advise on how to handle this situation is insufficient.

The problem is that there are far more places that can throw an exception, and those too need to be "shown to the user". What we really need (not just here, but also in the examples), is to register a swing exception handler, as described here:
http://stackoverflow.com/a/12341673/472109

I'll write that code for the examples now, push it and link it here so you can reuse it. Then any exception that occurs anywhere in the swing thread will be reported to the user properly.