First of all, it is very useful in the situation that the user wants to enable additional sprites, but wants to test the game before they are made for every character.
Second, it's all if-blocks, there's no try-catch (which is very slow anyways)
Third, it's an option. Once the developer needs to detect missing files or things of that sort, they can turn the option off and the system will run normally with errors.
And Blizz, this type of graceful error handling is not that uncommon, especially in the world of game development.