This might seem odd, but out of curiosity, why would there ever be anything that doesn't exist?
I mean, if it isn't there why not make a page that says so: "Error, this page is under construction, please click back in your browser to continue."
No self-respecting website should have links that don't go anywhere, especially with how easy it'd be to use php to check for the existance of the file before loading it (if needbe), or to put a page in its place that states it's under construction.
Theres not much you can do to over-ride how x10 does ads on its 404 pages besides not having the 404; if the user is typing in addresses and they get it wrong, thats their problem - once they're on your site, none of the links should go to a 404'd page.
That's getting more into a webdesign discussion than the x10 404 page though.