ASP.NET MVC, throw HttpException vs return HttpStatusCodeResult?

In my view you need to consider first if a request is made to the unsupported URLs. Then do you think of it is an exceptional situation or you expect that to happen? If you think of it as an exceptional situation then create and throw an exception (option 1). If you are expecting that you will receive many requests on the unsupported URL then treat it as a function of your application and use method 2.

That's said you will need to think about your clients' again if you are expecting too many requests on the unsupported URLs. In general I would prefer to throw an exception as I don't expect to receive too many requests on the unsupported URLs, and if it does happen then I would like to log it as an exception and investigate the reason.

Being in a DevOps team, we are all in the mind-set where throwing more hardware at something to get a slightly better result is always a good cause. So I'm intentionally ignoring the micro-cost of firing a .NET exception.

If you're leveraging a telemetry framework like ApplicationInsights then just returning the status code gives you nothing more than a "failed request". It doesn't give you any useful information that allows you to either compile or get any information on the "why" of the failed request.

Telemetry platforms expect and want you to throw, because error telemetry is usually around .NET exceptions, so if you're not throwing you're creating a problem for operations.

I actually landed here, because I'm in the process of writing a Roslyn analyser and CodeFix for a project where folks love to write try{} catch { return BadRequest("put_the_reason_here"); } and neither DevOps or the Dev teams see nothing useful in the system telemetry in ApplicationInsights.

The second seems better as it doesn't involve exception throwing which comes at a micro-cost compared to the first example.