SOLUTION
CodeSiteEx hooks directly into Delphi's exception system and sends exceptions automatically when using TraceMethod. So, the previous code that reports errors by using a try..except block nested within a try..finally block is equal to this:
procedure MyProc;
begin
CodeSiteEx.TraceMethod('MyProc');
{ MyProc body goes here... }
end;
The exception notification system is very powerful and does much more than report errors in method traces. When coupled with the TcsxErrorTrapControl component, the developer is given complete control over how errors are reported.