right now the OperationQueue is still quite 'stupid', it only executes the operations one after the other, it has no option to fail on error and it doesn't redispatch the error events of its operations.
This will likely change in the future but for now, to handle the errors of your loadmodule operations you'll have to add the event handlers to the separate LoadModuleOperation instances. i.e.:
Hope that helps,
var queue:OperationQueue = new OperationQueue();
var lmo:LoadModuleOperation = new LoadModuleOperation(MODULE_URL);
lmo = new LoadModuleOperation(MODULE_URL2);