Custom error messages for REST calls are usually in the message body of the response. In Mendix, custom error handling is needed to be able to extract the response message body from the $latestHttpResponse variable.
My suggestion is to add an option like "Add message body to the error message" to the ‘Error handling’ section. The expected result is that the REST exception message from the message body is added to the error in the Mendix Console/Log. This would increase development and debugging speed.