It is currently not possible to use custom error handling in a loop. The only option for error handling is "Continue". This has many disadvantages, as it is not possible to see whether / where an error has occurred. The possibility of using custom error handling with / without rollback would make our work much easier in many places.
And to support Axel's comment: with error-handling you can/should not go back to the main flow. Since an end-event can not get placed inside a loop, we can conclude that Mendix' implementation of the loop, implies that any errorhandling inside a loop would result in leaving the loop and going to the rest of the mainflow.
Yes, Mendix can modify that, but just saying: it will not be an easy-peasy solution.
You can easily make a sub microflow and add any kind of error handling in there, with a proper way of handling this in the sub microflow. Adding the error handling options inside a loop makes it more complicated because the error handling will be the same for any of the iterations.