I'll have to look at it myself, as I use HTML5 controls on my own
website, but I've never seen error notifications for bad files in an
HTML5 audio or video tag in any browser. I have enough usable vision to
see that video posters are either blacked out or dimmed when the video
filename is misspelled or the file doesn't exist, but I don't think
audio does anything, and I haven't heard any alerts or other error
notifications. This may be something that should be reported to a screen
reader, but since it's usually up to the webmaster to be sure that the
files exist, it is probably only useful for testing purposes if the
webmaster him/herself uses a screen reader.