The code in any FINALLY block can contain explicit flow-of-control options: LEAVE, NEXT, RETRY, RETURN, or THROW. Since FINALLY is an undoable block, LEAVE, NEXT, and RETRY without a label apply to the FINALLY block itself and not to the associated block.
If you want LEAVE, NEXT, or RETRY to apply to the associated block, use label syntax with these statements. Flow of control statements in a FINALLY block override pending flow of control from a CATCH block.