With TMG SP2 Microsoft have released a new error page look (See Below)

You can enable this after you upgrade to TMG SP2 by doing the following

1. Open TMG Console
2. Right Click “Forefront TMG (Server Name) and select properties
3. Go to the “Error Pages” tab and select “Use the version available from Forefront TMG SP2 onwards”
4. Apply the Settings and you will have the new error pages