DSXchange

You want the jobs to abort, not stop, for changes to rollback and for Sequence jobs to be restartable. Try a Routine Activity with UtilityFatalToLog rather than the Terminator stage, see if that helps.

UtilityFatalToLog was not available.I tried with UtilityAbortToLog.But it didn't help.It was like
ExceptionHAndler --->Notification --->UtilityAbortToLog.
But the sequencer didn't send any mail when it stopped.
The message given as input param for UtilityAbortToLog was not there in the log.
I think Exception handler is not triggered,if the sequencer receives a stop request and thats why its not aborting.

As Craig said, you need an Abort situation. Even to trigger the Exception Handler. And it won't be triggered at all if the activity that fails has an explicit failure trigger.