[SalesForce] Custom exception thrown

I'm learning the APEX world (coming from the .NET world).

Defined a custom exception.

In a method (say A()) i'm using a try catch block in which, i 'm calling another method of another class (say Classname2.B() ).

In this Classname2.B() i 'm throwing the public defined Exception.

This does not get caught!!

If instead i throw the exception in the try catch block, then the exception gets caught! What do i miss? Shouldn't this work also in APEX (like in the .NET world)?

public class SomeClass {
    public void A() {
        try {
        //...
            Classname.B(); //<- doesn't work
            throw new CustomException();//<-works
        //...
        }
        catch(CustomException ex) {}
    }
}


public class Classname {
    //...
    void B() {
    //....
        throw new CustomException();
    //...
    }
}

EDIT: Here is the actual code (which is stripped down to only the relevant parts).

The trigger looks like this:

trigger Expenses on Expense__c (before insert, before update) {
    if(Trigger.isBefore && (Trigger.isUpdate  || Trigger.isInsert)) {
        Travel__c travel = getTravel(); 
        ExpensesTriggerHandler.onBeforeInsertOrUpdate(trigger.new, travel);
    }
}

The ExpensesTriggerHandler looks like this:

public with sharing class ExpensesTriggerHandler {

    public static void onBeforeInsertOrUpdate(List<Expense__c> newExpenses, Travel__c travel) {
        ExpenseValidator.validate(newExpenses, travel);
    }

}

The ExpenseValidator looks like this:

public with sharing class ExpenseValidator {

    private static List<ExpenseRule> rules;

    static {
        rules = new List<ExpenseRule>();

        for(ApexClass clazz : [SELECT NamespacePrefix, Name FROM ApexClass WHERE isValid = true]) {
            Type t = Type.forName(clazz.NamespacePrefix, clazz.Name);

            try {
                ExpenseRule rule = (ExpenseRule) t.newInstance();
                rules.add(rule);
            }
            catch(Exception ignored) {}
        }
    }


    public static void validate(List<Expense__c> expenses, Travel__c travel) {

        for(ExpenseRule rule : rules) {

            for(Expense__c expense : expenses) {
                rule.validate(expense);
            }
        }
    }

}

One of the classes implementing the ExpenseRule Interface is the following (from which the exception gets thrown):

public with sharing class ExpenseCannotEndBeforeStartRule implements ExpenseRule {

    private final static String ERROR_MESSAGE = 'Expense begins after end.';

    public void validate(Expense__c expense) {
        if (expense.dtm_DepartureTime__c > expense.dtm_ArrivalTime__c){
            throw new ExpenseValidationException(ERROR_MESSAGE);
        }
    }

}