Hi,
This can happen when you have "Parse Joomla SEO links" option enabled in JoomSEF's Advanced Configuration and you access some non-existent URL which JoomSEF sends to Joomla for parsing and Joomla parses it only partially. In such case JoomSEF doesn't know that the URL doesn't exist and Joomla itself displays the standard error page.
Try disabling the "Parse Joomla SEO links" option in JoomSEF's Advanced Configuration. Please note that it will cause old style Joomla SEF links stop working, so if you use Default Joomla router or a Component's Router as active handler for some of your components, their URLs won't work properly.
If disabling the option doesn't help, it's probably caused by some configuration of your web server or some 3rd party component or plugin installed in your Joomla.