The help tries to explain what is happening. It is a bit heavy going but the information is all there. Basically if an exception occurs in a Sub and is not handled by ErrorLabel then the user will be presented with an error message to halt or continue. So the only place you can handle an exception is in the Sub where it occurs. If the Sub is not doing anything that might cause an exception there is no need for an ErrorLabel statement in that Sub.
Yes, event Subs are normal Subs, there is nothing special about them and you can even call them like any other Sub, they don't only have to be run by an event.