I'm having problem to show the EPiServer custom error messages in R2, in version 5 SP3 it works great.
I have done these settings without no success:
There is a bug in the release version of R2 that causes the set value to be inversed (i.e. "Off" turn error handling on). This bug is fixed in R2 SP1.
You can read a more detailed description of the bug by searching for it in our buglist at http://world.episerver.com/bugs , search for known bugs in R2 or fixed bugs in R2 SP1 and use the keyword "globalerrorhandling".
My suggestion is that you upgrade to SP1 or wait for SP2 which will be released any day now.