To set up an error message, you will need:
Create a skill "No Understanding" + a resource with your error message. We advise you to add a button "back to menu" and "create a ticket/contact an advisor" ...
Activate the skill of non comprehension. Go to: Skill > Advanced > Activate "Misunderstanding skill".
Set the skill with the intention "Intent_not_understood":
NLU > Configuration > Add Configuration > Select "_intent_not_understood_" > Validate
NLU > Certainty Score:
By default it is 0.5 which is rather low, we advise you to set it at least to 0.7.
Finally train your NLU and publish your chatbot