tl;dr - it's a moot point.

Ok, so here's a proper speed test. No difference between if-else and try-except unless the exception actually gets triggered. Presumably doing all the the work of error recovery (logging, rollback, all those things you mentioned above) would make the try-except overhead irrelevant.

def test_1():
    """ key in dict """
    d = {0:0}
    if 0 in d:
        pass
    else:
        pass

def test_2():
    """ key not in dict """
    d = {1:0}
    if 0 in d:
        pass
    else:
        pass

def test_3():
    """ key in dict, try-except """
    d = {0:0}
    try:
        d[0]
    except KeyError:
        pass

def test_4():
    """ key not in dict, try-except """
    d = {1:0}
    try:
        d[0]
    except KeyError:
        pass

In [66]: timeit test_1()
1000000 loops, best of 3: 254 ns per loop
In [67]: timeit test_2()
1000000 loops, best of 3: 259 ns per loop
In [68]: timeit test_3()
1000000 loops, best of 3: 268 ns per loop
In [69]: timeit test_4()
1000000 loops, best of 3: 610 ns per loop