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