Да, нужно использовать onLoadError у слушателя mcl.

Код AS1/AS2:
function createLoaderClip(createTo, src) {
var d = createTo.getNextHighestDepth();
var newClip = createTo.createEmptyMovieClip("loaderClip_"+d, d);
var mcl = new MovieClipLoader();
var loadListener = {};
loadListener.onLoadInit = function(target_mc:MovieClip) {
trace("loaded! "+target_mc._width+"x"+target_mc._height);
};
loadListener.onLoadError = function(target_mc:MovieClip, errorCode:String, httpStatus:Number) {
trace(">> loadListener.onLoadError()");
trace(">> ==========================");
trace(">> errorCode: " + errorCode);
trace(">> httpStatus: " + httpStatus);
};
mcl.addListener(loadListener);
mcl.loadClip(src,newClip);
return newClip;
}
for (var k = 0; k<10; k++) {
var newLoaderClip = createLoaderClip(_root, "http://www.flasher.ru/forum/images/russian/flasher_logo.gif");
newLoaderClip._y = k*80;
}