Should a business rule violation throw an exception?
It really depends on what it is and where it is.
If it's some data coming from the user then as levand said it's a matter of validation. Validation can turn up both successful and failed, both are expected options with clear further action scenarios.
If it's something like method execution errors it could be a better idea to throw an exception and stop right there before more harm is done (such as producing inconsistencies in the database).
It is often a matter of perspective and your application design.