Also when you catch exception you can just save it anywhere even to Databricks Table something like:

try:
(...)
except Exception as error:
   spark.sql(f"""INSERT INTO   (...)   """", repr(error))
   dbutils.notebook.exit(str(jobId) + ' - ERROR!!! - ' + repr(error))

In my opinion as @werners said is good choice to send to Azure Log Analytics for detailed analysis but I like also to use also above method and just have nice table in databricks with jobs which failed 😉