) it keeps that address in address bar but shows me the content of my 404 page instead redirect me to mysite.com/errors/404
That is correct, a 404 response should be returned from the existing URL they are attempting to access. A redirect would basically tell search engines or other bots that the URL was successful (just moved).
I think that you actually have the correct behaviour here. A 404 page should output the nonexistent URL with the error message. No URL redirecting needs to occur, just the error display (as you seem to be describing).
Or am I missing the point?
