When you configure an Error Page, the plugin will redirect the user to this page each time it runs into an error e.g. user not found.
If you don’t configure an Error Page, the plugin will instead redirect the user to the default WordPress login page (and display the error occurred in a message above the credential input form).
The plugin will automatically skip the Error Page when authenticating a request (to avoid an infinite loop). The error code will be sent along as query string parameter and can be used by you to customize your own Error Page.
To customize your own page, you can use a WordPress shortcode to display the error message from the plugin.
For further technical details please refer to the Configuration documentation