I disagree.  The docs only sporadically mention specific exceptions for specific functions.  UnicodeDecodeError can occur any place bytes are decoded to unicode.  I think this should be closed.

Builtin exceptions are documented in https://docs.python.org/3/library/exceptions.html.  Module docs document additional exceptions defined in a module.  ParseError is one such.  https://docs.python.org/3/library/xml.etree.elementtree.html#exceptions.  It is not specifically mentioned in the entry for fromstring or .feed.

I also disagree that the decode error should be wrapped as a parse error.  It happens before parsing in the data preparation step, and the UnicodeDecodeError message give 3 pieces of information specific to the problem.