This works perfectly (but doesn't display the message obviously)
<bx:try>
<bx:include template="#p#.bxm">
<bx:catch type="any">
#bxCatch.message#
<bx:dump var="#bxCatch#" />
</bx:catch>
</bx:try>

However, adding the <bx:output></bx:output> around the message
<bx:try>
<bx:include template="#p#.bxm">
<bx:catch type="any">
<bx:output>#bxCatch.message#</bx:output>
<bx:dump var="#bxCatch#" />
</bx:catch>
</bx:try>causes an The requested key [bxCatch] was not located in any scope or it's undefined