There are cases in systems-y code where it is not safe to unwind the stack in the ordinary way and it is difficult to contain the side-effects. These can be non-obvious and subtle edge cases that are often difficult to see and tricky to handle correctly. C++ today is primarily used in code contexts where these kinds of issues can occur. This is why it is a standard practice to disable exceptions at build time i.e. -fno-exceptions.
With the benefit of hindsight, explicit handling and unwinding has proven to be safer and more reliable.