I can't seem to find any notes about this in the documentation and my best efforts to read the API failed.
How would one throw an error? A 500 or a 404, or otherwise.
That's not an error (in the strict sense of the word), but an HTTP status code.
You show the standard 404 page (defined in your routes.php config file) via
\Request::show_404();
If you want to set a status code on your current page, use the controllers response object: