ColdBox gives you several ways to deal with unhandled exceptions in your application such as the exceptionHandler event and the onException interception point to name a couple. With either of those approaches, you can redirect the request to a different event. If you don't redirect or abort the request though, ColdBox will eventually display the contents of your error template.
By default the error template is /coldbox/system/includes/BugReport.cfm. This file has the familiar "Oops! Exception Encountered" header. While BugReport.cfm is chock-full of juicy error details (including the SQL of queries that errored), it isn't the kind of information you want to be revealing to the general public.
This is where your customErrorTemplate setting from the ColdBox config file comes in.