Membership no access

How do I create a membership no access page and hide it if the page will be visible on my nav menu anyway?

I have a no access page selected under Membership Edit Options Protected content message but it is still visible in my nav menu

Creating the required pages
We need to add two new pages to our site in order to make the most of the membership plugin.
These are:
1. No access page
The content of this page is displayed if a user tries to access a page or other content that they aren’t allowed to.

Instructions incomplete.