To add custom error documents in plesk 12, you will need to edit/add an .htaccess file

# cd /var/www/vhosts/domain.com/httpdocs/

# mkdir error_pages

# nano .htaccess
ErrorDocument 404 /error_pages/404.php

#cd error_pages

# nano 404.php
<h1>Not Found</h1>

Save the file and then test with a bogus URL