Fix undefined behaviour caused by uncaught exceptions in OMP section

An OpenMP parallel section must have a single entry and a single point
of exit. Leaving such a section by throwing an exception is undefined.
This patch fixes this by catching possible exceptions on the parallel
section and throwing right we left it.

test/exceptions.cpp

@@ -109,5 +109,7 @@ void memoryleak()
 
 void test_exceptions()
 {
-  CALL_SUBTEST( memoryleak() );
+  EIGEN_TRY {
+    CALL_SUBTEST( memoryleak() );
+  } EIGEN_CATCH(...) {}
 }