When handling `Application.OnException` add the `ExceptAddr` to in Delphi the menu `Search` -> `Go to address` has a chance of working, and the `ClassName` so you know what happened.

MainFormUnit.pas

procedure TMainForm.Application_OnException(Sender: TObject; E: Exception);
var
  lMessage: String;
begin
  lMessage := E.Message;
{$IFDEF DEBUG}
  lMessage := Format('%s at $%p: %s', [E.ClassName, ExceptAddr, lMessage]);
{$ENDIF DEBUG}
  BringToFront();
  MessageDlg(lMessage, mtError, [mbOK], 0);
end;

//   Application.OnException := Application_OnException;