Works …mostly.

Not so easy to find the config option (settings -> permalinks), but once you have it, it will work for most users.
However, if you got WP in a subdomain which is an alias for a path within your domain, like “http://blog.yourdomain.com” as an alias for “http://www.yourdomain.com/wordpress/”, the login page will still be available under the unaliased URL.
I understand that renaming the php-file would not work everywhere, so it`s a biased situation. Nevertheless only 4 stars for not even warning of this -not so uncommon, but serious- pitfall.