您的异常处理程序只专门捕获EIdHTTPProtocolException异常，但也可以引发其他几种类型的异常，包括EIdSocketError。您需要相应地更新您的处理程序，或者只让它捕获所有可能的异常，而不是查找特定类型。既然您说未捕获的异常导致整个应用程序失败(这意味着您有更大的问题要处理，而不仅仅是TIdHTTP)，您还应该更新代码以处理由TMemoryStream引发的异常。
试试这个：

// Connect to web server and download ToBeInstalled.ini
Url := 'http://'+IPAdd+'/ToBeInstalled.ini';
try
  MS := TMemoryStream.Create
  try
    http.Get(url, MS);
    code := http.ResponseText;
    MS.SaveToFile(UserPath + 'ToBeInstalled.ini');
  finally
    MS.Free;
  end;
except
  on E: EIdHTTPProtocolException do begin
    code := http.ResponseCode; 
  end;
  on E: Exception begin
    // do something else
  end;
end;

我是这样用的：

uses
  IdStack, IdStackConsts;

Result.ResponseCode:= -1;
  try
    Result.Content:= FHTTP.Get(Url);   
    Result.ResponseCode:= FHTTP.ResponseCode;
  except
    on E: EIdSocketError do
        begin
          case e.LastError of
            Id_WSAETIMEDOUT:
              begin
                Result.ResponseCode:= 408;
                Result.Message:= 'زمان ارتباط به پایان رسید';
              end;
            Id_WSAEACCES:
              begin
                Result.ResponseCode:= 403;
                Result.Message:= 'دسترسی وجود ندارد';
              end;
            else
              begin
                Result.ResponseCode:= e.LastError;
                Result.Message:= e.Message;
              end;
          end;
        end;
      on E: Exception do
        Result.Content:= E.ClassName + ': ' + E.Message;
  end;