FWIW, here is a sample code i use in my web services, and it works great.

DEFINE CLASS BaseCom AS Session
	PROCEDURE Init
		SYS(2335 ,0) && Turn unattended mode on
	ENDPROC

	PROCEDURE Error(nError, cMethod, nLine)
		LOCAL lcMessage AS String
		lcMessage = 'Error: ' + TRANSFORM(nError) + ' - ' + MESSAGE()
		COMRETURNERROR(This.Class, lcMessage)
	ENDPROC
ENDDEFINE

DEFINE CLASS MyVeryOwnClass AS BaseCom OLEPUBLIC
	PROCEDURE MyProc( Param1 as String, Whatever as String ) as String
		IF empty( Param1 )
			ComReturnError( 'MyVeryOwnClass', 'Param1 empty!' )
		ENDIF
                ********* enter your code here ********
		RETURN 
	ENDPROC
ENDDEFINE

>Sorry I forgot to mention, I tried even that but still the same result