Ok :x
We've been looking for a problem in a DTS package for 3 days with 2 people already.
I've stumbled on the following KB which explains why we were probably looking on the wrong places :(

FIX: A DTS Package That Uses Global Variables Ignores Error Message Raised by RAISERROR

Solved in a hotfix and of course in SP4 which should be arriving around June (I guess)