In a good effect system exceptions as effects are isomorphic to error conditions as data, so the choice comes down to what is more ergonomic for your use case, just like the choice between these three isomorphic functions should is down to ergonomics:

    frob1 :: Foo -> Bar -> R

    frob2 :: (Foo, Bar) -> R

    frob3 :: FooBar -> R
    data FooBar = FooBar { foo :: Foo, bar :: Bar }