I don't think you're doing anything wrong 🙂 I have a very vague recollection that in the past, you could add multiple responses, that's obviously not the case now.
I've taken a brief look and one way to add multiple responses is to download the OpenAPI definition from the custom connectors list and to open it in a text editor. Next, find your existing response and append a second response. Finally, you can recreate the connector with your updated file.
For example, here's the response I added in the text editor.
When I recreate the connector, this is what I see. I can then use the editor to modify my 400 response.
I suspect there's more you need to carry out but hopefully, this might help you progress things a bit.