Hi,
I assume you are not catching the exception? This means that the exception will be being caught by the default exception handler which is built into the firmware and because of this does not pickup the volume settings normally used by leJOS.
You can either catch the exception yourself (in your main function catch (Throwable t)), or you can link with the -g option (which enables the debug monitor code, so the default exception handler is now in Java) in which case the normal volume control settings will be used for the exception beep...
Or you could just fix your code so it doesn't throw an exception
Andy