No. The cftry/cfcatch was for catching database errors.
However, you may wish to let those bubble up.
Since the component exists in a shared scope, using
IsDefined() is potentially dangerous IMO. If you do not include a
scope, CF automatically searches multiple scopes for the given
variable name. So I would use structKeyExists instead.
(Coincidentally a similar topic came up on HOF today)
I would do something like this
...
<cfset var Local = structNew()>
<cfquery name="Local._SqlQuery"
datasource="#APPLICATION.config.DSN#">
#preserveSingleQuotes(ARGUMENTS._sql)#
</cfquery>
<cfif structKeyExists(Local, "_SqlQuery")>
<cfreturn Local._SqlQuery>
<cfelse>
<cfreturn false>
</cfif>
....