Even if throwing an exception isn't slow, it's still a bad idea to throw exceptions for normal program flow. Used this way it is analogous to a GOTO...
I guess that doesn't really answer the question though. I'd imagine that the 'conventional' wisdom of throwing exceptions being slow was true in earlier java versions (< 1.4). Creating an exception requires that the VM create the entire stack trace. A lot has changed since then in the VM to speed things up and this is likely one area that has been improved.