This request was evaluated by Red Hat Product Management for inclusion in a Red
Hat Enterprise Linux major release.  Product Management has requested further
review of this request by Red Hat Engineering, for potential inclusion in a Red
Hat Enterprise Linux Major release.  This request is not yet committed for
inclusion.

This is nicely documented. See man page of set builtin;
-e      Exit immediately if a pipeline (which may consist  of  a
                      single  simple command),  a subshell command enclosed in
                      parentheses, or one of the commands executed as part  of
                      a  command  list  enclosed  by braces (see SHELL GRAMMAR
                      above) exits with a non-zero status.  The shell does not
                      exit  if  the  command that fails is part of the command
                      list immediately following a  while  or  until  keyword,
                      part  of  the  test  following  the  if or elif reserved
                      words, part of any command executed in a && or  ││  list
                      except  the  command  following  the final && or ││, any
                      command in a pipeline but the last, or if the  command’s
                      return  value  is being inverted with !.  A trap on ERR,
                      if set, is executed before the shell exits.  This option
                      applies to the shell environment and each subshell envi-
                      ronment separately (see  COMMAND  EXECUTION  ENVIRONMENT
                      above), and may cause subshells to exit before executing
                      all the commands in the subshell.