Python Exceptions Handling

My code downloads files from an online file storage web service and unzip them. To run my script, I give it a date as argument (as mentioned here below). I want to add an error message if the date did not match any documents.

This is the code in question :

With a wrong date, it works. I have this message :

Strangely, with a good date, my code is normally running, but I have also the error message !

I even tried with this :

With a wrong date, I have nothing. The error message is not displayed.

What might be wrong? Any help appreciated. Thx !