This feeling is at odds with what is generally considered idiomatic Python, for better or worse.
Upthread BiteCode mentioned EAFP. See, for example: https://devblogs.microsoft.com/python/idiomatic-python-eafp-...
(It's certainly not unanimous. Guido himself is on the record as saying EAFP isn't better than LBYL, but in most of the Python I've cruised through these last umpteen years [that wasn't some other language written in Python], I've certainly seen an overall preference for EAFP. Naturally YMMV.)
Because an iterator needs to be able to return any python value, and if you did that, there would be at least one python value that an iterator could not actually return.
Unless you required the iterator to wrap real return values in a container (basically, an optional/maybe monad) but then you have unwrapping overhead on every real return value, which is worse.
You do that with two or more of the protocols that Python has that use return values for return values ans exceptions for flow control signals and...you make it a lot harder to work with them, especially in conjunction.
That's...horrifying, both from a computational efficiency perspective (due to the overhead of exceptions) and from a "beauty" perspective (exceptions are supposed to be exceptional, darn it!). Why is it implemented this way? Why not just use a normal loop and check a return value from the iterator?