use try/except with psycopg2 or "with closing"?

Your link to the Psycopg2 docs kind of explains it itself, no?

... Note that closing a connection without committing the changes first will cause any pending change to be discarded as if a ROLLBACK was performed (unless a different isolation level has been selected: see set_isolation_level()).

Changed in version 2.2: previously an explicit ROLLBACK was issued by Psycopg on close(). The command could have been sent to the backend at an inappropriate time, so Psycopg currently relies on the backend to implicitly discard uncommitted changes. Some middleware are known to behave incorrectly though when the connection is closed during a transaction (when status is STATUS_IN_TRANSACTION), e.g. PgBouncer reports an unclean server and discards the connection. To avoid this problem you can ensure to terminate the transaction with a commit()/rollback() before closing.

So, unless you're using a different isolation level, or using PgBouncer, your first example should work fine. However, if you desire some finer-grained control over exactly what happens during a transaction, then the try/except method might be best, since it parallels the database transaction state itself.