Exchange 2013 Hybrid Configuration Wizard Failing

I couldn't get the Hybrid configuration wizard working. The moment after I sign into Office 365, I get the following error:

HTTP Error 500.19 - Internal Server Error
Absolute physical path "C:\inetpub\custerr\C:\inetpub\custerr" is not allowed in system.webServer/httpErrors section in web.config file. Use relative path instead.

Screenshot here:

Looking up and down the Internet, I could not find any useful clue at all. Out of the whim, I decided to move the mailbox that my admin account is associated with to Exchange 2013 and problem fixed!

Hopefully this is useful for some other poor folks with the same problem.

There are a lot of discussions about Exchange 2013 CU6 causing co-existence and hybrid problems but I do not this has been documented before.