explaining that the artifacts you are looking for are already deleted.
"Item <file path> does not exist" is a pretty clear explanation that the artifact isn't there, in my opinion. If you need it to distinguish between items that have never existed and items that used to exist but were deleted, that's most likely impossible.
How to make this looks more user friendly
The 404 page that's already there is designed to be automation-friendly: it's in JSON format, which is more easily read by a script. I think the idea is that you're unlikely to open a 404 page in a browser, since the web UI wouldn't have links to 404 pages.
Artifactory doesn't have a built-in way to customize the 404 page, but you can always use a reverse-proxy (such as nginx), which can be configured to automatically intercept Artifactory's 404 responses and replace them with your custom page. Related: Nginx - Customizing 404 page