Not able to add custom message

There are 2 ways to do this.

When you edit an Access Level, look at the meta box to the right.

The “Action” option determines whether you want to display your message on the restricted page or whether you want to redirect.

In the “Page” option, you should select the page where your custom message is located. I.e. you can create a new page called “Access Denied” and then select it.

This solved my problem. I probably just misunderstood how it worked.

Marked as solved.