Based on some previous discussion:
My understanding is that Caddy is sending a 404 status, but the body is coming from upstream (FastCGI), not the default one provided by Caddy (or a custom one if you’ve specified it).
Tagging @abiosoft, did anything come of that? I did a quick search for issues but nothing seemed strictly related.
Assuming there’s no issue currently tracked for this, @b2c, you may wish to open up a new one for the current behaviour to be changed.