Why when we create a new screen action it appears always the ALL exceptions flow and it never appears in preparations and user actions?!
Screen Actions are usually triggered by some user interaction on a web screen. As such, any errors that occur during their execution should normally be reported back to the user. Therefore it's a sensible default to create an error handling flow in such actions that essentially tells the user through a feedback message that something went wrong.
User Actions are different in that they can be triggered from anywhere, like timers or other processes. For here, there's no sensible exception handling default: there may be no user to report the exception message to, nor a screen to display it. Handling the error would likely hide a problem. So by defaulting to not having exception handling, we'll let the error bubble up and be handled by whoever called the user action. If it was triggered from a screen action, then it can be reported in the screen; if it was a timer, it'll likely just be logged in Service Center error logs.
The use-case of preparations should be just to fetch the minimal amount of data required to display the page. They should not trigger any complex operation (as that will delay the page rendering, hindering user experience). If getting the data you need to display the page fails, then usually you don't even want to display the page. That's why, by default, you have no error handling in preparation: the error will bubble up to the webflow error handling, which will likely redirect to an error page.
These are my interpretations of why the defaults are as they are.
However notice that they're just defaults, and you can add/remove error handling flows as you see fit for your application.