Do you have any packages that also do 404 routing? Typically SEO packages can be the first culprit to check. Or any webconfig/iis/etc redirect rules.
Otherwise, following the documentation (https://docs.umbraco.com/umbraco-cms/13.latest/tutorials/custom-error-page) setup should be all you need. No chance any logs there to help yah?
May also help to know which method you're using.