External auth access denied reason is not shown

According to the documentation, if an external authorization denies access a reason can be provided to be shown to the user. This message is not shown

Steps to reproduce

1. Enable external authorization service
2. Access a project that you do no have permissions for

What is the current bug behavior?

The user is shown a standard 404 error

What is the expected correct behavior?

The user should be shown an error page with an error message

https://gitlab.com/gitlab-org/gitlab-ee/blob/master/app/views/errors/access_denied.html.haml

https://docs.gitlab.com/ee/user/admin_area/settings/external_authorization.html#how-it-works