You probably have to cast the exception into a SOAP exception. See my sample on NACKs (http://www.biztalkgurus.com/Samples/Delivery-Notification-NAck-Orchestration.html) under BizTalk 2004.
An alternative I use sometimes is I’ll just make the call inside a .net component called from an Orchestration. That way I have better control over the errors – but I lose all the benefits of the adapter framework.