Hi Duncan Evans,
This should be default behavior. I am testing with 3.6 SP2:
1. Found - this image represents the response codes when the html page is found
2. Not-Found - when the page is not found.
Again, my configuration is:
1. 404 custom errors are set to sf404.aspx in the web.config file
2. html is added to the additional extensions collection.
Can you please inspect the response codes using Fiddler for example? It is a free tiny application which will show you everything related to requests and responses.
the Telerik team