missing foreign key fails silently using COPY

When COPYing data to a table which uses foreign keys, if there
is a reference to a key which is not there, the copy fails
(as expected) but there is no error message.

Hmm. Looking at it more, seems like there is an error message
when using:
COPY "f" FROM '/home/lee/f.dat';

but _not_ when using:
COPY "f" FROM stdin;
or
\copy f from f.dat

This is on:
PostgreSQL 7.2 on i386-unknown-freebsd4.5, compiled by GCC 2.95.3

SELECT version();

DROP TABLE p;
DROP TABLE f;

CREATE TABLE p (
pk int primary key
);

CREATE TABLE f (
fk int references p
);

COPY "p" FROM stdin;
1
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4
\.

COPY "f" FROM stdin;
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3
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5
\.