It's very possible this is normal. My understanding is that Magento has it's own built in Error handler, I'm not 100% on the name of the handler, but I believe it may be
function mageCoreErrorHandler($errno, $errstr, $errfile, $errline)
PHP has both errors and exceptions.
NOTE: XDebug conflicts with our error handling callback and therefore causes conflicts with our ability to report errors.
PHP errors are handled through a callback in the agent that's provided to the built-in PHP function set_error_handler(). The criteria under which APM will catch and report errors is as follows:
The error must match the error_reporting bitmask set by the application developer (http://php.net/manual/en/function.error-reporting.php)
The error must not have a level of E_NOTICE or E_USER_NOTICE
When an error is intercepted by some other error handler and not reported to the agent manually (via some mechanism like error_log() or newrelic_notice_error()), we won't see it at all.
PHP exceptions behave similar to exceptions found in other programming languages. The built-in function set_error_handler() does not handle uncaught exceptions as a result. However, the PHP agent does still hook into the PHP runtime to catch some exceptions regardless of this limitation.
The two scenarios in which an exception will be reported to APM are:
The exception is completely unhandled by the PHP runtime or code (i.e. no try-catch blocks or other handlers take care of the exception)
the exception is reported using newrelic_notice_error()
The reality is that most PHP frameworks that use exceptions will require a call to newrelic_notice_error() to catch any exceptions, as try-catch blocks are a common mechanism for gracefully handling these situations.
The recommended method for reporting exceptions is to have the developer add a call to newrelic_notice_error() in any global or common exception handlers in their code. In other words, when the developer knows there's a specific try/catch block that is to catch all exceptions, this would be a good place to call newrelic_notice_error().
So I imagine if you newrelic_notice_error within the Mage Error Handler you would be able to ensure all errors end up on the New Relic Dashboards.