nope, it doesn't fine missing.php either. This was one reason why we took so long to really recommend php-cgi (and make it the default), because we were hoping they'd fix the 404 handling with it. But they never did, so we eventually decided to go ahead with it because of the other benefits.
The "reason" it doesn't do the 404 stuff correctly is because php-cgi is a "wrapper" program that takes whatever php file is called and then executes it. If it doesn't get a php file as input (really just a 404) it returns that error, instead of sending a nice 404 error back to apache to handle. Pretty dumb, we know! We wish it worked better.