I don't think you can change this message.
HTTP 401 is defined by w3c: https://www.w3.org/Protocols/rfc2616/rfc2616-sec10.html
Afaik it is common practice not to explain anything to the outside world on why the authentication failed, so a possible hacker would not get any feedback on a hacking attempt.
If you really need this, you may want to contact mendix support for this.