The ActionError class has been deprecated, so don't use it. Use ActionMessage instead. In answer to your question, I believe that the error message will just be blank if there is no message with that key, and no exception is thrown.
There was confusioin when using ActionErrors and ActionMessages, so now there is only one with an indicator as to whether you want an error or messge.
PS - in the later vertsions of Struts you can indicate whether or not you are using a key that will be used for lookup in the MessagResources files or using a String literal that you want used instead of a lookup value