Allowing timeout on long-running operations - possible bug - Miscellaneous Debris

Avner Kashtan writes in his blog about an interesting problem, and solution, on how to run a long-running operation, with a timeout. The solution involves, obviously, running the code in a different thread. The possible bug is an unhandled exception in the different thread, which might kill the whole application process.

The suggested solution is to catch the exception in the running thread, and "passing the exception backward". This is possible thanks to the use of an anonymous delegate. Although this is indeed, as mentioned in the post, an ugly solution, I find myself wondering what's the penalty of doing such a thing. Is the performance degraded so much? Is it such a horrible OOP crime? Allowing timeout on long-running operations - possible bug - Miscellaneous Debris