Look in your system settings for the error page & access denied page, just set those to the IDs of the custom pages you have created. If you want custom pages for other error codes, you may have to use some redirect rules in an htaccess or apache config file. Some of them will probably never work [like 500 errors] in which case you would have to use a static html file & the server configuration to point to it.
as for setting the path - you will have to set your furls [more system settings] to "use friendly alias path'
also - clear your cache, with modx when in doubt clear the cache...