Good news! I have found a way how to fix this issue. Found from here:
Basically we should also changes the links from wp-logins.php to /your-own-login-link.
After installing the plugin, edit your theme functions.php, then add this filter:
add_filter('site_url', 'wplogin_filter', 10, 3);
function wplogin_filter( $url, $path, $orig_scheme )
$old = array( "/(wp-login\.php)/");
$new = array( "your-own-login-link");
return preg_replace( $old, $new, $url, 1);
Pay attention:Make sure to match your-own-login-link to the one you made in WP Lockdown. Now it works perfectly!
In case you haven't noticed this, I guess you should add this to your code, Sean! ;)