I just discovered that the error_page setting in my context (not web) is not working - requests for pages that don't exist in that context (subdomain) don't go to any error page, not even the page designated in system settings.
I'm using the ContextRouter extra to manage the requests for the subdomain, and that seems to be working fine, but possibly ContextRouter isn't referring to the context settings for the error_page and unauthorized_page. Has anyone got any ideas about this?