You can assign an onException handler to the ClientConnector - and you are actually supposed to do so. The exception handler will get the exception object passed in that happened in the asynchronous send action.
Below is the default handler that even tells you, what you should do ;-)
Closure onException = { Throwable up ->
def out = new StringWriter()
up.printStackTrace(new PrintWriter(out))
log.severe("onException reached, rethrowing in UI Thread, consider setting ClientConnector.onException\n${out.buffer}")
uiThreadHandler.executeInsideUiThread { throw up } // not sure whether this is a good default
}