Where are you checking these things? From a tool? They wouldn’t likely work properly because of the security system that prevents them from accessing your site (but search engines are whitelisted as a side note).
To actually check whether the correct status code is being applied, you can do it through your browser’s dev tools. Example, here is what I see on a non-existent page of your site when I inspect it, which indicates it is properly applying the 404 status code:
So you can safely ignore the tool being unable to detect the correct status codes.