Is it possible to select the 404 page under the site node? In the examples the 404 always points to a single page. Or should we use the IContentLastChanceFinder. Something like would be nice

{
  "Umbraco": {
    "CMS": {
      "Content": {
        "Error404Collection": [
          {
            "Culture": "default",
            "ContentXPath": "$site/errorPages[@nodeName='404']"
          }
        ]
      }
    }
  }
}

I'd say you're better of with a last chance content finder. However, you should also try out the HotChillie.Umbraco.NotFound package. It allows you to select 404 pages in the backoffice. I have good experiences with this package

Only if not on Umbraco Cloud. The HotChillie package can cause issues on UC. I use it everywhere else though 😉