In the past, when I submitted a TAGSETS.EXCELXP program in a stored process in Excel 2003 using the SAS Add-in, I got a popup window with the message "The SAS Report results for "SP_name" could not be processed." So, you're right, the error message was much more graceful. But I do not have Office 2007 or Office 2010 to test with, so I don't know whether that popup window still exists in 2007 or 2010 AMO. My test image only has Office 2003 available.
The format library (for user-defined formats) should be in a special location, as described here --
http://support.sas.com/kb/40/103.html ... but the formats DLL not being found -- that seems like a possible Tech Support issue.
But still, even with the formats DLL available, and the format library in the correct location, that won't change the fact that TAGSETS.EXCELXP doesn't work with the SAS Add-in for Microsoft Office for Stored Process results.
cynthia