Hi Madan, RAISE EXCEPTION won't transfer the messages to the workflow container. However it will transfer the exception message to the workflow log.
What we have done in the past is to pass input parameters to the RAISE EXCEPTION statement and use the parameters in the custom exception class to build the Exception's text which is then shown in the Message tab of the failed step in the workflow log.
Alternatively you might consider writing our your messages to the transaction SLG1 log from the exception class.
Would either of those suit your needs?
As a workflow in ERROR status can't do anything with the messages in the workflow container, passing messages back to the workflow container when it goes into error was not a feature that was built into the workflow engine.
Hope that helps
Jocelyn