By default, the Indy library adds some content body in HTTP responses if there is no ContentText or ContentStream assigned, if you want to return an empty Response body, because of 404 error or similar, you can use the following trick.
Create a new TStringStream without content and Assign to ContentStream property of HTTP Response, this way the HTTP Response will be sent without the HTML Tags used by default.
Example
procedure OnCommandGet(AContext: TIdContext; ARequestInfo: TIdHTTPRequestInfo;
AResponseInfo: TIdHTTPResponseInfo);
begin
AResponseInfo.ContentStream := TStringStream.Create('');
AResponseInfo.ContentType := 'text/html';
AResponseInfo.ResponseNo := 404;
end;