automatically redirect all 404

I don’t advise you do that as it can negatively affect your site. A 404 is the correct response for a page that doesn’t exist.

Is it better to create a 404 page and set an automatic redirect to a 404 page?

No, that would be worse. It’s better to let WordPress handle 404s as it does correctly by default.

You can lose traffic! What pages do you recommend specifying 404 – 301?

How can you lose traffic?

If you have a page that has moved then you should redirect it to the new page. Otherwise, what WordPress does by default is the correct behaviour.