I matured the code a bit further and came up with the following
in components/com_sef/joomsef.php line 1203
replace this
if( $params->get('varFilterFail', '0') == '1' ) {
                // We need to test the URL using variable filter
                // in order to stop its further processing in case it fails
                $failedVars = array();
                if( !JoomSEF::_varFilterTest($uri, $failedVars) )
                {
                    die($uri->toString() . '<br />' . JText::_('URL did not pass the variable filter test.'));
                }
            }
for this
if( $params->get('varFilterFail', '0') == '1' ) {
                // We need to test the URL using variable filter
                // in order to stop its further processing in case it fails
                $failedVars = array();
                if( !JoomSEF::_varFilterTest($uri, $failedVars) )
                {
					// redirect to the error page
					if ($sefConfig->showMessageOn404) {
						$mosmsg = 'FILE NOT FOUND: '.$route;
						$mainframe->enqueueMessage($mosmsg);
					}
					else $mosmsg = '';
 
					$link = '';					
					if ($sefConfig->page404 == '0') {
						$db = JFactory::getDBO();
						$sql = 'SELECT `id`  FROM `#__content` WHERE `title`= "404"';
						$db->setQuery($sql);
 
						if (($id = $db->loadResult()))
							$link = 'index.php?option=com_content&view=article&id=' . (int) $id;
					}
					elseif ($sefConfig->page404 == '9999999') {
						$menu  =& JSite::getMenu(true);
						$item = $menu->getDefault();
						$link = $item->link;
					}
					else {
						$id = $sefConfig->page404;
						$link = 'index.php?option=com_content&view=article&id=' . (int) $id;
					}
 
					// If custom Itemid set, use it
					if ($sefConfig->use404itemid) {
						$link .= '&Itemid=' . $sefConfig->itemid404;
					}
 
					//JoomSEF::_sendHeader('HTTP/1.0 506 Proxy Authentication Required'); //so it does not make sense mixed 506 with 407 error codes
					header("HTTP/1.0 404 Not Found");
 
					if ($link)
					{
 
						// Try to find the non-SEF URL in the database - don't create new!
            			$oldDisable = $sefConfig->disableNewSEF;
            			$sefConfig->disableNewSEF = true;			            
            			$sef = JRoute::_($link);
			            // Restore the configuration
            			$sefConfig->disableNewSEF = $oldDisable;
 
						$f = $l = '';
						if( !headers_sent($f, $l) ) 
						{
							$mainframe =& JFactory::getApplication();
							$mainframe->redirect($sef, $mosmsg, 'error');
							exit();
						} else {
							JoomSEF::_headers_sent_error($f, $l, __FILE__, __LINE__);
						}
					}
 
					die($uri->toString() . '<br />' . JText::_('URL did not pass the variable filter test.'));
                }
            }
this will consider all the scenarios for the 404 error page:
 - pointing to an existing article
 - pointing to homepage
 - default 404 page
I was not able to change the response headers to something like 404 or 500 but I think it would be easy for the joomSEF team to do that bit.
As I said earlier I think this could be a nice thing to have as it looks a lot better than a 
die($uri->toString() . '<br />' . JText::_('URL did not pass the variable filter test.'));
But I would like to ear other opinions, 
specially from the joomsef development team.
Regards