TRY CATCH with Linked Server in SQL Server 2005 Not Working

Hello, I am trying to catch sql error raised when I execute a stored procedure on a linked server. Both Servers are running SQL Server 2005.

To prove the issue I have created a stored procedure on the linked server called Raise error that executes the following code:

    RAISERROR('An error', 16, 1);

If I execute the stored procedure directly on the linked server using the following code I get a result set with 'An error', '16' as expected (ie the code enters the catch block):

    BEGIN TRY
        EXEC [dbo].[RaiseError];
    END TRY
    BEGIN CATCH
          DECLARE @ErrMsg nvarchar(4000), @ErrSeverity int;
          SELECT @ErrMsg = ERROR_MESSAGE(), @ErrSeverity = ERROR_SEVERITY();
          SELECT @ErrMsg, @ErrSeverity;
    END CATCH

If I run the following code on my local server to execute the stored procedure on the linked server then SSMS gives me the message 'Query completed with errors', .Msg 50000, Level 16, State 1, Procedure RaiseError, Line 13
An error'

    BEGIN TRY
          EXEC [Server].[Catalog].[dbo].RaiseError
    END TRY
    BEGIN CATCH
          DECLARE @SPErrMsg nvarchar(4000), @SPErrSeverity int;
          SELECT @SPErrMsg = ERROR_MESSAGE(), @SPErrSeverity = ERROR_SEVERITY();
          SELECT @SPErrMsg, @SPErrSeverity;
    END CATCH

My Question is can I catch the error generated when the Linked server stored procedure executes?

Thanks in advance!