Hello Viswanath,
I believe it can't be done directly, on behalf of plugins execution pipeline (when records B is created, the execution of plugin of entity A is already done). However you can follow one of the approach's:
If you need to catch the exception just for logging:
You can create a custom entity that will keep track of every plugin execution and on the catch block of every plugin you can create a new record on the custom entity
If you need to catch the exception to change the state of the parent record:
In this case, I recommend 2 options:
1) Move your code from CRM to an external service (You can create a WCF or API that your CRM Plugin will invoke asynchronously and so you can handle your flow manually, which means you can create record A, B, C, D and if record E throws
an exception you can do whatever you want with records A,B,C,D and E
2) On the catch block of your plugin, you can use the ParentId to change any property or execute any action of the parent record.
Regards,
Henrique Silvestre Souza