MFC new should throw

Why is it that the Visual C++ 2008 MFC DOC/View based wizard creates an application class InitInstance with the following code checking the result of new being used to dynamically create a CObject derived frame window?
I was under the impression that MFC new would throw on failure

// create main MDI Frame windowCMainFrame* pMainFrame = new CMainFrame;if (!pMainFrame || !pMainFrame->LoadFrame(IDR_MAINFRAME)){ delete pMainFrame; return FALSE;}