We have a Web Application that contains a wildcard managed path,
under which we have multiple site collections defined. A few of our
users have noted that if they incorrectly type in a site name, they
are presented with the following 404 error:

HTTP/1.1 404 Connection: close Date: <Date> Server: Microsoft-IIS/6.0
X-Powered-By: ASP.NET MicrosoftSharePointTeamServices: 12.0.0.6039

We have a custom 404 page in the 12 hive and have registerred it with
the SPWebApplication object. Users who type in invalid urls at any
other level than the wildcard path are correctly presented the custom
error page. Users who type in invalid urls at the managed path level
are presented with the above error.

Ex)

http://servername/managedpath/site/non-existantpage results in the
custom error page

http://servername/managedpath/non-existantsite results in the
HTTP/1.1 404 Connection... error

I have been unable to find much information about this scenario out
there, other than a few blog posts that mention the page registerred
with the SPWebApplication willl not work in this scenario. Is there
any way for us to display our custom error page instead of the above
error?