My view model class has a method (not sure if that is good practice or if view models are supposed to be strictly property and property changing mechanisms) that connects to a service. Of course I want to handle any possible WCF exceptions when connecting or disconnecting.
Let's use endpoint not found as an example considering that is an exception that I would want to bring to the user's attention. Consider the rough code example:
public void Connect()
{
    ServiceClient proxy = null;
    try
    {
        proxy = new ServiceClient();
        proxy.Subscribe();
        // ...
    }
    catch(EndpointNotFoundException)
    {
        // should I do something here?
    }
    // .. other WCF related exception catches and a finally
}
Is it considered good practice to maybe invoke System.Windows.MessageBox.Show() directly within the catch or should I maybe rethrow the exception so another layer of my WPF application catches it? If so, where is the ideal place to catch such an exception?