not sure if this is where you submit bug reports but anyways.. --STATS-- Lftp | Version 2.6.5 gcc version 2.95.4 20011002 (Debian prerelease) Debian woody 3.0r1 (With security updates)
if you have set cmd:fail-exit on in ~/.lftprc ~/.lftp/rc probably /etc/lftp.conf though didn't test that, when executing lftp --help or lftp --version nothing prints out.
