ICS default 404 Page is hard-coded in ICS and does not contain any content which can lead to clickjacking risk. Likewise, it is impossible to customize the 404 response page. Hence, it was made as "
Not Mandatory" to have X-Frame-Options header for the 404 response URL.
If you need the X-Frame-Options as a "Mandatory" as per individual company security policy, then we have an alternative option to make ICS respond with X-Frame in 404 response header. Under System >> Configuration >> Security >> Advanced >> Custom HTTP Headers configure X-Frame-Options with SAMEORIGIN >> Add and Save changes:

Above custom option will enforce
ICS to send
X-Frame Option header in 404 response.