If you have set the auto-redirect setting to off or if the plugin was not able to automatically redirect a page, your visitors will see a 404 page.
By default, a 404 page is rendered from the 404.php file that's a part of your WordPress theme.
You can use:
- a default one,
- select one of the existing pages,
- or create a new page in WordPress.
Please note that in order to select a different page to act as a 404 page, that page has to be published & public.