Well, the Java approach is philosophically somewhat different. C#/.NET is closer to C++ where they are very willing to complicate the language and APIs to make the job of the runtime or compiler easier. Java just philosophically refuses to do that, more or less (perhaps you could argue that's changing a bit now with value types).

So in Java they just made exceptions really fast. There are lots of runtime optimizations around exceptions, for example, if you regularly parse strings that aren't numbers then the resulting exception will automatically stop having its stack trace filled out, which makes throwing drastically cheaper. The JVM can also inline the code and then convert try/catches to ordinary gotos.