This is probably because it is hosted on GitHub Pages which doesn't give you a way to serve the document for any URL. I would expect it to be a trivial fix for any self-run server.
Yes, it is a GitHub hosting issue and it works when the project is run locally. I am aware of the GitHub SPA hack, but I decided against it, since it would introduce unwanted complexity. My main goal with the repo is to teach how to use the NX framework.
You can "cheat" on GitHub Pages and have a part of the app set as a 404 error page.