The problem isn't the customErrors section in the web config. If you check out the links in my last post, you'll see that you do get the custom page supplied in that section (which does use a Sitefinity extensionless page in fact), but only when you use a url that has an extension
I can only assume that this is because the web.config settings apply only to requests that go through the ASP.NET ISAPI filter. If IIS sees a request without an extension, the only way it can know what to do with it is if there's a Sitefinity component in there processing the requests. This Sitefinity component appears not to be aware of the custom error configuration.
For reference, here's my customErrors section in web.config: