You create a landing page, a form and a thank you page. The thank you page is the follow-up page for when a form is submitted on the landing page. This process works.
However, if you change the URL of the follow-up page (not the page name in Marketo, the URL), a form submission on the landing page will no longer take you to the follow-up thank you page, but your global fallback page.
We were told by Marketo Support that this is intended behavior, although, it seems unintuitive for me, and creates many extra clicks to connect the follow-up page as a different page, approve it, then connect it back to the original page (which fixes the issue).
I believe that the correct behavior would be for Marketo to automatically recognize the new follow-up page when its URL is changed and go to that page when the form is submitted on the landing page.