Write-Error should be used if you want to inform the user of a non-critical error. By default all it does is print an error message in red text on the console. It does not stop a pipeline or a loop from continuing.
Throw on the other hand produces what is called a terminating error. If you use throw, the pipeline and/or current loop will be terminated. In fact all execution will be terminated unless you use a trap or a try/catch structure to handle the terminating error.
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