You will find that cefsharp displays errors directly in the browser window when they occur.
If you are interested in controlling the look and feel of this error message checkout. Changing the mainviewmodel.browser.loaderror event will change the behavior here.
private void OnWebBrowserLoadError(string failedUrl, CefErrorCode errorCode, string errorText)
{
// Don't display an error for downloaded files where the user aborted the download.
if (errorCode == CefErrorCode.Aborted)
return;
var errorMessage = "<html><body><h2>Failed to load URL " + failedUrl +
" with error " + errorText + " (" + errorCode +
").</h2></body></html>";
webBrowser.LoadHtml(errorMessage, failedUrl);
}