Strange one.
A primer on what the setting does can be found here:
What is the advanced IE option Show HTTP Friendly Error Messages? When a server sends an error message, it can also send a page back at the same time. With the friendly flag set, the page that is returned gets ignored and IE shows its own 'friendly' page.
I checked using a proxy, and the request and response in both cases are the same. As far as the firewall should be able to tell, everything should work the same in both cases. The only difference is what the client does when it gets the response...