This problem exists for a very long time and even if it isn't blocker it is annoying.
You can easily reproduce it by creating a job in an hudson instance (using the security matrix) and you don't give access to it to anonymous.
Logout and try to access to the project URL
This is annoying because teams are receiving emails from hudson saying to have a look at the url of the build failure and they are faced to a 404 ...
A 501 error (with the login page ?) should be really better in term of ergonomics