Not exactly. If an error in the php script appears, the server returns back the server's error page, not the xf error page. It's configured to act like that.
However, just tried, in my localhost server that dosen't happens. So it must be my error, somehow.
Well, you can look at the server error log in XF. But generally speaking, overwriting our error messages with the server messages is not a particularly good idea - we can give specific, useful messages (and be nicer to your end users too).