I think the first article refer to the act of traversing the call stack and creating a stack trace as being the expensive part, and while the second article doesn't say it, I think that is the most expensive part of object creation.John Rose has an article where he describes different techniques for speeding up exceptions. (Preallocating and reusing an exception, exceptions without stack traces, etc)
But still - I think this should be considered only a necessary evil, a last resort. Johns reason for doing this is to emulate features in other languages which aren't (yet) available in the JVM. You should NOT get into the habit of using exceptions for control flow. Especially not for performance reasons! As you yourself mention in #2, you risk masking serious bugs in your code this way, and it will be harder to maintain for new programmers.
Microbenchmarks in Java are surprisingly hard to get right (I've been told), especially when you get into JIT territory, so I really doubt that using exceptions are faster than "return" in real life. Perhaps you could post your test code?