Para quem passar pelo mesmo problema, consegui resolver.
Segue código do web.config que funcionou:
<?xml version="1.0"?>
<configuration>
<system.webServer>
<httpErrors errorMode="Custom">
<remove statusCode="404" subStatusCode="-1" />
<error statusCode="404" prefixLanguageFilePath="" path="/EXEMPLO_404.php" responseMode="ExecuteURL" />
</httpErrors>
<rewrite>
<rules>
<rule name="wordpress" patternSyntax="Wildcard">
<match url="*"/>
<conditions>
<add input="{REQUEST_FILENAME}" matchType="IsFile" negate="true"/>
<add input="{REQUEST_FILENAME}" matchType="IsDirectory" negate="true"/>
</conditions>
<action type="Rewrite" url="index.php"/>
</rule>
</rules>
</rewrite>
</system.webServer>
</configuration>
Links de referências:
http://ajuda.uolhost.com.br/index.php?p=resposta&res=530#rmcl
http://br.forums.wordpress.org/topic/erro-404-nos-posts
