The Session.Open throws an exception on its own. You need to catch it.
See try ... catch statement in this example:
https://winscp.net/eng/docs/library_powershell#example

I am attempting to retrieve exceptions when the session.open() fails.

I was hoping to do something as simple as

$SessionRemoteException = $Session.Open($SessionOptions).Check()

Write-Host $SessionOpenException.Exception.Message

I am struggling. Any assistance is appreciated

John