But discourse isn’t web pages, it’s a single page JavaScript app.
If you visit the app via a nonexistent route, such as a broken link, then you are served a static 404 page which is styled to look like the rest of the site. It isn’t part of the app, so can’t function like it.
If you click an internal link (from within the app) to a page which doesn’t exist then it serves you a 404 error within the app itself.
They aren’t the same thing.