Use a private flow for the content of the for-each with its own exception strategy. THe exception will be handled in the private flow and the parent flow should be able to continue. Something like:
<flow name="ProcessOrderStastusUpdate">
<foreach collection="#[payload]" doc:name="For Each">
<flow-ref name="privateFlow" />
</foreach>
</flow>
<flow name="privateFlow">
<component doc:name="Set Magento Order Status for Update">
<singleton-object class="com.dse.esb.component.OrderStatusMapperComp">
<property key="as400OrderStatuses" value="${as400.orderstatuses}"/>
<property key="magentoOrderStatuses" value="${magento.orderStatuses}"/>
</singleton-object>
</component>
<logger message="About to update Magento Order Status" level="INFO" doc:name="Logger"/>
<magento:add-order-comment config-ref="Magento" comment="Updated by Mule ESB with AS400 order status: #[payload.TRNSTS]" orderId="#[payload.EPGORDNBR]" status="#[flowVars['magentoOrderStatus']]" doc:name="Update Magento Order Status"/>
<choice-exception-strategy doc:name="Choice Exception Strategy">
<catch-exception-strategy doc:name="default">
<logger message="Handle default exception" level="INFO" category="==============>>>>>>>>>>>>" doc:name="Logger"/>
</catch-exception-strategy>
</choice-exception-strategy>
</flow>