I think the problem here is that your Route assertion is within an "All assertions must evaluate to true" assertion. Once the route fails, the "All.." assertion fails, and your policy as a whole fails. Maybe try something like this
When I put an invalid URL in the Route assertion I get back the customized error response. With this policy logic, either the Route assertion is successful, or the Customize and Stop assertions within the "All..." assertion are executed. I suggest you put the audit assertion outside of(before) the "At least one..." assertion.