Exceptions are interesting, but difficult to use properly due to C++'s complex type system. Taking your exception objects by reference ameliorates issues with copies of the exception object being made. Take a look at the C++ Exception Class Hierarchy: you should generally derive your own exception types from std::logic_error or std::runtime_error.

To really get a feel for exceptions, though, you need to step away from C++ for a while and program in languages where they are first class constructs. Java has a far more pervasive use of exceptions, as well as listeners. Java, Python, Windows Structured Exception Handling (Microsoft) and other languages also provide the finally clause, which really simplifies exception handling by providing a single, localized point of exit and cleanup (Python's not allowing you to use the except and finally clauses in the same block is annoying, though).

One last thing: choosing to investigate all those topics before getting to work on your game virtually guarantees that you won't get to work on your game for a long time to come. I say take the knowledge you have now, make a small game. Learn some more, use that new knowledge in the next game. Nothing solidifies learned theory and technique like applying it to real-world problems.

Happy hacking.