No, I have a custom 404 page, it is added correctly. What I noticed is that OLS doesn't handle them correctly. Instead of giving a 404 header for a custom 404 it gives a 302. The default OLS 404 page gives a 404, just not when you have a custom one. I have it as just 404.html. I also tried it as a full url (which is suppose to throw a 302 and does).
example I have my personal domain dillynbarber.com It is one page naturally this pages gives a 200 OK. If you add anything else to the url like dillynbarber.com/derp it shows you the 404.html page but the status goes (302 > 200 OK)