I agree examples like that could be better implemented. closing the connection should really be in finally not in catch then there would be no need for catch at all. Then again, trying to close a connection could raise a new exception if the connection object is null or not open for some reason. This could happen in the catch or the finally.
In places where the code is like that I have been going through and changing to use the overloads that use connection string instead of connection and removing the try catch completely. By using the overlaods that use connection string the sqlhelper can manage the connections.
Feel free to do more of the same if you want to help clean those up. Its not really a high priority for me I just clean up whenever I'm visiting those methods or methods nearby.