Tim,
Step back for a second and recognise that everything happens via
SEXP .Call(SEXP a, SEXP b, ...)
where R calls your C++ routine asynchronously.
You can do tricks _within the subroutine that is called_ which is essentially
what happens via the automatically-added try/catch block we have in C++. And
Rcpp::stop() is just a shortcut for using those.
Beyond .Call() you just have what "Writing R Extension" describes in Section
6.2 "Error handling", the forementioned error() and warning() [ which we
prefix with Rf_ as not-namespace-protected error() clashes too easily with
macros or functions in other libraries ]
Any other really low-hanging fruits would probably have been picked by other
Rcpp users.
Dirk