The last sentence in the section Don't use exceptions seems to refer to details on the subject of two-step construction:
The special case of constructors, which have no return value, is typically handled by providing an IsOk() method indicating whether the object was constructed successfully and, for all wxWindow-derived classes, also by using two-step construction.
But there is no section about it on this page. (At least none that I've been able to find so far).