PVS-Studio warning V509 for Source SDK

CRecordEffectOwner::~CRecordEffectOwner()
{
  if ( m_bToolsEnabled )
  {
    KeyValues *msg = new KeyValues( "EffectsOwner" );
    ToolFramework_PostToolMessage( HTOOLHANDLE_INVALID, msg );
    msg->deleteThis();
  }
}

This suspicious code was found in Source SDK project by PVS-Studio static code analyzer.
Warning message is:
V509 The 'new' operator should be located inside the try..catch block, as it could potentially generate an exception. Raising exception inside the destructor is illegal. Client (HL2) toolframework_client.cpp 222

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