Looking at the source code, Mapserver WMS client, always uses the inimage
type of exceptions in its WMS request:
if (nVersion >= OWS_1_1_0)
pszExceptionsParam = "application/vnd.ogc.se_inimage";
else
pszExceptionsParam = "INIMAGE";
But, application/vnd.ogc.se_inimage is an *optional* exception format in
the WMS spec, so I think your idea would be good of being able to override
this as a user. This is a necessary enhancement, since the default
requested exception format is an optional one, and I would suggest you to
open an enhancement bug for this in the Mapserver bugzilla. Something like
wms_exception_format/ows_exception_format METADATA.
This may also involve some more error handling in Mapserver WMS client
though, since it is not expecting XML type of exceptions for GetMap right
now. So it might not be as straightforward as it looks to implement this.