Interesting point. Foreign key failures are usually the result of a program bug. Unique and exclusion[1] constraints depend on concurrent actions, and can't be caught ahead of time as easily. So I assume you are mostly talking about CHECK constraints.
Also, we're talking about a single statement, which probably means a single table.
It does sound like a good idea to validate all of the check constraints on a table at once, and report all of the failures.
[1] http://www.postgresql.org/docs/current/static/ddl-constraint...