I found the login redirect didn't work on my site where I'm using the Vanilla Forums plugin to embed the forum in a WordPress page. (Vanilla is installed in a folder /vanilla )
In wp-vanilla-connect.php I added the text index.php?p= to change this:
return $this->vanilla_host . '/entry/jsconnect?client_id=' . $this->get_clientID();
return $this->vanilla_host . 'index.php?p=/entry/jsconnect?client_id=' . $this->get_clientID();
and now it works just fine.
If making the change after installation you also have to go into the Vanilla jsConnect plugin and make the equivalent change to its login url.
Another thing to watch is the WordPress permalink setting. If left at default you can't change the target page embed setting in the Vanilla Forums plugin. If you use a non-default permalink setting you can change the target page.