I have an error page,anyError.cfm, that looks like this
<!DOCTYPE html>
<html>
<head>
<title>Error</title>
</head>
<body>
<p>An error has occurred.</p>
</body>
</html>
In the CF web admin under Server Settings > Settings > Site-wide Error Handler I enter \anyError.cfm. When I navigate to http://localhost:8500/some-url-that-doesnt-exist I still get the default error page. So my question, how do I get a custom site-wide error page using CF9? It doesn’t necessarily have to be through the web admin.
Edit:

Try using the value “anyError.cfm” instead of “\anyError.cfm” in the site-wide error handler setting.
Update, after seeing your update to your question I see now that you are generating a 404. Which is not for the site-wide error handler, it is for the missing template handler setting right next to it.
Try using a variable that doesn’t exist instead to generate an error that will cause the site-wide error handler to display.