Doing a verbose build indicates that -fexceptions is correctly being passed to the compiler, but -fno-exceptions is also passed by default, so that needs to be turned off. To unset that flag, use build_unflags.
[env:esp12e]
platform = espressif8266
board = esp12e
framework = arduino
build_flags = -fexceptions
build_unflags = -fno-exceptions