LiftRules.uriNotFound returns a NotFound object which can be:

case object DefaultNotFound extends NotFound

case class NotFoundAsResponse(response: LiftResponse) extends NotFound

// With this Lift will process the the not found template
// denominated by the path provided in the normal rendering pipeline as the designated template
case class NotFoundAsTemplate(path: ParsePath) extends NotFound

case class NotFoundAsNode(node: NodeSeq) extends NotFound



There is one "caveat" ... if I use NotFoundAsTemplate and I put some unknonw URI the not found page is rendered correctly
and the behavior is right except the Menu is not rendered because after all the URI I entered is unknown. So what do you think? ... should 
we do something about this?

Yes