Apparently someone at JetBrains forgot to add a surround template for Try catch in VB.Net. It is there for C#. So I created it for myself.
This is the xml. Just save it in a file and import it in resharper.
xml
<TemplatesExport family="Surround Templates">
<Template uid="febffd83-d964-4b7d-96fe-abd071be9c50" text="Try
 $SELECTION$
Catch ex As Exception

End Try" shortcut="" description="Try...Catch" reformat="true" shortenQualifiedReferences="true">
<Context>
<VBContext context="Expression" />
</Context>
<Categories />
<Variables />
<CustomProperties />
</Template>
</TemplatesExport>