Imagine you are browsing to a HTTP URL that does not exists. You'll get a 404 which often contains an explanatory body.
Now imagine you are calling someone using VoIP with SIP and use a non-existent addressee. Is it possible to return an error AND to establish an RTP stream with an explanatory audio message?
Yes, if you look at the RFC at https://www.ietf.org/rfc/rfc3261.txt It explains exactly how to do this.
The client would therefore receive the 404 in the SIP reply plus it will be told to connect to sip:[email protected] for a recorded message.