Actually handle that

src/main/java/com/velocitypowered/proxy/connection/backend/BackendPlaySessionHandler.java

@@ -44,4 +44,9 @@ public class BackendPlaySessionHandler implements MinecraftSessionHandler {
     public void handleUnknown(ByteBuf buf) {
         connection.getProxyPlayer().getConnection().write(buf.retain());
     }
+
+    @Override
+    public void exception(Throwable throwable) {
+        connection.getProxyPlayer().handleConnectionException(connection.getServerInfo(), throwable);
+    }
 }

src/main/java/com/velocitypowered/proxy/connection/client/ClientPlaySessionHandler.java

@@ -6,8 +6,11 @@ import com.velocitypowered.proxy.data.ServerInfo;
 import com.velocitypowered.proxy.protocol.MinecraftPacket;
 import com.velocitypowered.proxy.protocol.packets.*;
 import com.velocitypowered.proxy.connection.MinecraftSessionHandler;
+import com.velocitypowered.proxy.util.ThrowableUtils;
 import io.netty.buffer.ByteBuf;
 import io.netty.channel.EventLoop;
+import net.kyori.text.TextComponent;
+import net.kyori.text.format.TextColor;
 import org.apache.logging.log4j.LogManager;
 import org.apache.logging.log4j.Logger;
 
@@ -90,7 +93,11 @@ public class ClientPlaySessionHandler implements MinecraftSessionHandler {
 
     @Override
     public void exception(Throwable throwable) {
-        player.handleConnectionException(player.getConnectedServer().getServerInfo(), throwable);
+        player.close(TextComponent.builder()
+                .content("An exception occurred in your connection: ")
+                .color(TextColor.RED)
+                .append(TextComponent.of(ThrowableUtils.briefDescription(throwable), TextColor.WHITE))
+                .build());
     }
 
     public void handleBackendJoinGame(JoinGame joinGame) {

src/main/java/com/velocitypowered/proxy/connection/client/ConnectedPlayer.java

@@ -81,7 +81,7 @@ public class ConnectedPlayer implements MinecraftConnectionAssociation {
         handleConnectionException(info, TextComponent.builder()
                 .content(userMessage + ": ")
                 .color(TextColor.RED)
-                .append(TextComponent.of(error))
+                .append(TextComponent.of(error, TextColor.WHITE))
                 .build());
     }