As a general rule, you can't tell your browser to pretend like it's not talking to a proxy because it knows that it is. So, unless you were to literally copy the HTML of your browser's error message and return it to the client, you can't show the exact same message. (If you tried that, you'd find that, for instance, IE's error message would show in Firefox or another browser, etc).
customize the error message if you like; edit the Rules > Customize Rules > OnBeforeReturningError function.
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