SQL Server TRY...CATCH Is Not Catching An Error - sql-server

Question

BEGIN TRY
EXEC N'EXEC sp_testlinkedserver N''[MyLinkedServer]'';';
END TRY
BEGIN CATCH
SELECT 'LinkedServerDown' AS Result
RETURN
END CATCH
SELECT TOP(1) FirstName FROM [MyLinkedServer].TestDatabase.dbo.Customer
My first experience with using a TRY...CATCH in SQL Server does not have me impressed so far.
I've stopped the SQL Service on my linked server to attempt to test a situation where our linked server is down, inaccessible, etc.
Instead of catching any error, this code just throws the "Login timeout expired" and "network-related or instance-specific error has occurred..." error and ceases execution of the rest of the code.
Is my SQL TRY...CATCH block not set up correctly?

Answer 1

As per the MSDN, what sp_testlinkedserver do is
Tests the connection to a linked server. If the test is unsuccessful
the procedure raises an exception with the reason of the failure.
So when you compile your code (SP), sp_testlinkedserver checks for connection. But you can defer this and capture it by using dynamic SQL.
Like this -
BEGIN TRY
EXEC sp_executesql N'EXEC sp_testlinkedserver [192.168.51.81];';
END TRY
BEGIN CATCH
SELECT 'LinkedServerDown' AS Result
END CATCH

Answer 2

From MSDN
Errors Unaffected by a TRY…CATCH Construct
TRY…CATCH constructs do not trap the following conditions:
Warnings or informational messages that have a severity of 10 or
lower.
Errors that have a severity of 20 or higher that stop the SQL Server
Database Engine task processing for the session. If an error occurs
that has severity of 20 or higher and the database connection is not
disrupted, TRY…CATCH will handle the error.
Attentions, such as client-interrupt requests or broken client
connections.
When the session is ended by a system administrator by using the
KILL statement.
The following types of errors are not handled by a CATCH block when
they occur at the same level of execution as the TRY…CATCH construct:
Compile errors, such as syntax errors, that prevent a batch from
running.
Errors that occur during statement-level recompilation, such as
object name resolution errors that occur after compilation because
of deferred name resolution.

Answer 3

You need to create your end testlinkedserver stored procedure. This will also capture login time out errors.
exec dbo.USP_testlinkedserver 'myServerNameHere'
The definition is mentioned below:
CREATE PROCEDURE USP_testlinkedserver
#ServerName sysname
AS
BEGIN
SET NOCOUNT ON;
DECLARE #statement NVARCHAR(MAX), #errorMessage NVARCHAR(MAX)
SET #statement = N'SELECT * FROM OPENQUERY('+QUOTENAME(#ServerName,'[')+', ''SELECT 1'')'
BEGIN TRY
-- run the query
EXEC sp_executesql #stmt = #statement;
END TRY
BEGIN CATCH
-- show custom message
SET #errorMessage=QUOTENAME(#ServerName,'[') + ' linked server is not available. ' + ERROR_MESSAGE()
Raiserror(#errorMessage,16,1)
END CATCH;
END