A method performs successively validation checks with some passed data. If a validation check fails, a exception will be immediately thrown and the method aborted.
How can visualize this flow with UML sequence diagrams? Is it possible / allowed to show exceptions in sequence diagrams?
A possible solution perhaps is to use nested alternatives.
UML does not provide something specific to model exceptions. Look at http://www.uml-diagrams.org/sequence-diagrams-questions-answers.html
However there are ways to model it in a sequence diagram. You can read more about sequence diagrams at http://www.ibm.com/developerworks/rational/library/3101.html
I prefer to ignore exceptions from sequence diagrams. In your case, I would include all validations in one method that only makes that. So the sequence diagram of this method would show the validation steps only.