Prevent error on 404 awaiting selections; simplify request error handling

[gpalmz]

• Forgot to catch and retry on 404 awaiting user selections in previous PR. Fixed that here.
• Also decided that the easiest and most informative error handling approach is to just use the urllib errors directly. We don't really get anything out of wrapping them, and it reduces both the information we have when dealing with the errors and the information that's surfaced in tracebacks. We can get a better result by using the raise ... from e construct. Here's an example of such a traceback. (This 404 case won't be raised for real, it was just easy to grab as an example):