I have some data that comes through a Web Service and it is cached
locally using the isolated storage. For me it seems like a good
scenario for implementing a custom data source provider: look for the
data in the cache, if the data is stale get it from the web service.
My questions are:
1. How is the error mechanism working For example, if an exception is
raised during the connection to the web service, how do I notify about
this error I have thought that Error property will automatically have
a reference to the exception raised during BeginQuery (something like
asynchronous web service error mechanism).
2. How about asynchronous retrieval The base class DataSourceProvider
doesn't have built-in support for asyncronous data retrieval like Object/XmlDataProvider have so it seems that I have to implement it myself.

Custom data source provider
Freakie
I think you've asked a similar question.
1) In your subclass, provide an error in the OnQueryFinished override.
2) You have to implement async yourself...you can snif the implementation using Reflector to see how we do it for XML/Object Data provider.