Estás provocador, hem? :-)
Efectivamente também já me tinha deparado com essa questão. No geral, é preciso dar ao cliente alguma informação sobre a natureza do erro ocorrido, mas não ao ponto de ele perceber como os serviços estão implementados.
No guia dos Microsoft Patterns&Practices, "Web Service Security: Scenarios, Patterns, and Implementation Guidance for Web Services Enhancements (WSE) 3.0" que saiu há pouco há um pattern que tem tudo a ver com este problema:
Exception Shielding:
Context
A client is accessing a Web service. The Web service is designed according to the principals of service orientation, which ensures that the boundaries of the service are explicit, and requires that exception information related to the internal implementation of the service is managed within the service.
Problem
How do you prevent a Web service from disclosing information about the internal implementation of the service when an exception occurs?
[...]
Solution
Use the Exception Shielding pattern to sanitize unsafe exceptions by replacing them with exceptions that are safe by design. Return only those exceptions to the client that have been sanitized or exceptions that are safe by design. Exceptions that are safe by design do not contain sensitive information in the exception message, and they do not contain a detailed stack trace, either of which might reveal sensitive information about the Web service's inner workings.
(end quote)
Uma potencialidade que acho interessante é que esta "sanitização" de excepções seja configurável, para que possa ser desligada durante processos de desenvolvimento/debug. Curiosamente, o EDRA (v1.1)/Shadowfax tinha isto mesmo:
Configure exception shielding. Added a configurable mode so that exception shielding can be enabled or disabled. Exception shielding is a helpful feature for production environments where an exception should not provide the client with internal information (such as a connection string). During development and testing however, it is useful to see the exceptions that are raised.
Hope this helps.