After some extra testing on the sandbox, I have found that with default permalinks settings, the shortcode-error page works fine. The problem crops up, if you choose any of the other options under 'Settings > Permalinks' in a default WP install. (this is an extremely common configuration option).
I don't have access to change those settings on your test install, but if you would be so kind as to switch to the setting, I can easily reproduce the error on sandbox.
Thanks for all the support.