Some notes about that option. WordPress themes have their own template files for 404 requests. So, any user had to create page to show 404. But it’s page. It’ll be indexed by search engines as page and not as 404.
Ok, let’s leave it as you suggested. My another related question. Even after configuring that setting ( PWA settings => Setup => 404 page ) the second time request is returns 200 Status Code from Service Workers and not 404. How to make it work as should (when the page is not exists in site, any request should show 404 Status code) ?