Improve documentation of Python and C++ exceptions (#2408)

The main change is to treat error_already_set as a separate category
of exception that arises in different circumstances and needs to be
handled differently. The asymmetry between Python and C++ exceptions
is further emphasized.

docs/advanced/pycpp/object.rst

@@ -1,6 +1,8 @@
 Python types
 ############
 
+.. _wrappers:
+
 Available wrappers
 ==================
 
@@ -168,3 +170,11 @@ Generalized unpacking according to PEP448_ is also supported:
     Python functions from C++, including keywords arguments and unpacking.
 
 .. _PEP448: https://www.python.org/dev/peps/pep-0448/
+
+Handling exceptions
+===================
+
+Python exceptions from wrapper classes will be thrown as a ``py::error_already_set``.
+See :ref:`Handling exceptions from Python in C++
+<handling_python_exceptions_cpp>` for more information on handling exceptions
+raised when calling C++ wrapper classes.