I read a lot of threads about this !!! Lot of people seems to need this functionnality and they arrives to do this but changing code of .htaccess or index.php.
If you're wanting this behavior on Joomla access denied then I suggest posting to Joomla.org forums for suggestions as maybe a solution exists. Aside from that I can't really help you as CB has no control over Joomla access denied behavior.
I'm sure that we can do this with cb auto actions or cb antispam but i'm lost.
CB Auto Actions can with a Redirect action, but only if it's a CB page that fires a trigger before the access denied kicks in. This assumes Joomla access denied isn't taking place, which if it is then there's nothing CB can do about it.
PS 2 : same problem in the invert case : if a user try to connect in a non-restricted area (but he is already connect), i've got error 403 - How to redirect too...
That's normal Joomla access denied behavior. CB has no control over this.