It seems that your web host or browser could be caching the page, preventing display before all mail is sent. Furthermore, a server limit on script execution time could cause the script to halt prematurely, resulting in no data being sent to the browser.
Am I correct in assuming you must click Resume to finish your mailing when the Page not Found error occurs? When the mailing completes, do you see the mailing page at that time stating that the mailing is complete? If so, this would confirm my suspicion that this is due to a server time limit on scripts and caching/compression of ALL page data before sending via a server setting.
Regards