Description:
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From manual page: http://www.php.net/pdo.error-handling
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The example provided ("Create a PDO instance and set the error mode") is correct 
but IMHO it's slightly misleading as well. It suggests that this line:

$dbh->setAttribute(PDO::ATTR_ERRMODE, PDO::ERRMODE_EXCEPTION);

... has any effect in capturing connection errors but, if connection fails, the 
line will not even execute.

The base problem is probably that the PDO constructor does not seem to obey 
PDO::ATTR_ERRMODE settings anyway: on error, it'll always trigger a warning and 
throw a PDOException. That's not documented either.