Yes you do need the / which specifies the root (htdocs) of your hosting where you have your Unauthorized.html file which is exactly what I posted
If your custom page was in some sub-directory of htdocs then you would also need to add that to the path like this for example /my-custom-error-directory/Unauthorized.html
Please also note the help text below the Action field.
If a file path is given (starting with a slash), the provided file is returned.
Emphasis added to the important part.
If you just enter Unauthorized.html, it could mean that you want to load the file Unauthorized.html, or want to redirect to a website http://Unauthorized.html. The latter is probably not a real website, but the form is not sophisticated enough to try and guess what you mean.