Steps to reproduce:
we have preprocessing flow

Documentation says

If you mark the Custom on fail checkbox, the item will not become unsupported in case of failed preprocessing step and it is possible to specify custom error handling options: either to discard the value, set a specified value or set a specified error message.

Result:
So all following steps should be continues. But it not happens.

Expected:

To proceed with it and make opportunity raise a trigger as we have some expected value.
But now we cannot do that as item become unsupported.