When to use Exception - exception

Question

I have a Form or Page and some privileges (Save, Modify, Delete etc.) assigned to a user that is using this page, let's assume this user only has Save and Modify privileges.
When user clicks Delete button, which he is not privileged to, I want to display a message to him to inform him that he doesnt have this privilege, how should my code look like?
Option 1
If(loggedUser.Privileges.Contains(PrivilegeTypes.Delete) == false)
{
MessageBox.Show("You dont have delete privilege!");
// Log that user tried to delete without permission etc
return;
}
Option 2
try
{
If(loggedUser.Privileges.Contains(PrivilegeTypes.Delete) == false)
{
// Throw custom exception
throw new UngrantedPrivilegeException(PrivilegeTypes.Delete, "Invalid privilege exception");
}
}
catch (UngrantedPrivilegeException ex)
{
if( ex.PrivilegeType == PrivilegeTypes.Delete)
{
MessageBox.Show("You dont have delete privilege!");
// Log that user tried to delete without permission etc
}
}

Answer 1

In this case i would go for first option since i know what are the possibilities and no need of creating unwanted exception object as burden on memory.
Exception should be used to handle unknown run time errors, not for logic conditions.

Answer 2

There is absolutely no reason to use an exception in this case. There is nothing exceptional about what the code is doing, and simple conditional logic is appropriate.
Consider the semantic logic of your first option:
Does the user have permission?
Tell the user they don't have permission.
Now consider the semantic logic of your second option:
Try to check for permission
Does the user have permission?
The user does not have permission.
Did the user have permission?
Tell the user they don't have permission.
Seems like a lot of redundancy in the second one, don't you think? You're also adding more overhead to the runtime by throwing an exception for the sole purpose of immediately handling it, when all you really wanted to do was check a condition. if statements exist to check conditions, there's no reason not to use one here. (Indeed, you are using one even in your second example.) It also pollutes the code with a lot of unnecessary things which distract from the basic business logic of what you're doing (checking a permission setting), making the code more difficult to support.
Don't use exceptions for logic flow. Use them to handle unexpected things that shouldn't happen, not to determine the logic flow of things that are expected to happen.