When we burst a report using a distribution file we are finding that caster does not give any error message if the burst value is not in the distribution file. However it does give an error when the burst value is in the address book and there is nothing to distribute for this value in the report.

Is there any way to capture the burst value for which no entry in the distribution list(file) exists.

I think you can set a catch all using Burst value of *. Then you would email this to yourself and when you got email you would know there are values unaccounted for.

Could be wrong tho.

Another harder alternative would be to MATCH FILE the distribution list and the final report.

Have you checked on this? I don't believe there is a "catch all" value. The report has already been burst by sort value, then it is compared against the distribution list to determine destinations. Unless * were an actual burst value, it would not know to send all "unclaimed" burst sections to a specified recipient.
That being said, the way we work around this is to create a defined field on the BY field used for bursting, with a DECODE and an ELSE value of "Unknown." Then we burst on that field instead and send the "Unknown" to someone who can modify the distribution list for those values.
In many cases, we simply don't want to account for EVERY possible burst value so it makes sense that RC would want you to approach this in your own procedures, instead of within the product itself. I know it's still a pain, though.
FYI, my gripe is the opposite of yours. Sometimes all the burst values don't exist (due to volume, business activity or lack thereof, run time, etc.), so it logs a ton of error/warning messages and sends error reports, even though I could care less that a specific burst value has no report .