Well, I think the Exception part it's a thing that everyone do in a different way, and for me the Symfony way make it more sense, but depend on you project if it's little and you may have a few exceptions, it's okey i think to store inside an Exception folder, but i prefer to store in a folder and if necessary make it subfolders, and all the clases extends de \Extension for the PHP and if necessary another class of your own.
For the moment I'm not so experienced with the exception thing, because you need to catch and process them, with a try cath or with a listener, but i think it's a nice thing to have in present!