Aku Aku: Certainly they do - especially Photoshop. Depending on where an image file is damaged, you can get the same error message, followed by a program termination.
What we can do for you depends on the file format. If it is loaded in an external module such as DirectX and causes that module to crash, the engine will definitely produce an error message. We can't change that for the mentioned good reasons.
If however it is loaded directly by the engine, like PCX and TGA, additional format checks would theoretically prevent many possible crashes. But how often do you have images in damaged format? Would it not be a lot easier when you just check before loading if the file exists or not - which is probably the most frequent error reason?