Found my answer in https://community.mcafee.com/message/320982#320982
It's actually in device Configuration.
Still how would you write policy rule to give user custom message in case of "system" error, like discribed above or e.g. in case of DNS error(not resolvable and such)? Like when you have "one" appliance that is used by multiple customers for which you have different policies containing customer specific error pages(e.g. different support contact information)?