Can you please show us how are you setting the sf404.aspx? Are you setting it in web.config custom errors or in IIS? It depends where you set it, for example if you set this through IIS it matters if your project is in the root of if it is added as an application under another site. In this case you must set the path as /VirtualDirectoryName/sf404.aspx. Furthermore this setting is set to serve extensionless urls when your page extension is aspx. Since you are not using an extension then you should also cut the extension from the sf404 page.
However since you are on Sitefinity 3.7 it is recommended that you run your website in IIS 7.0 Integrated pipeline mode. Then instead of using the sf404.aspx (this one is developed for IIS 6.0), you should add a wildcard script handler mapping to aspnet_isapi.dll.
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