Thanks pxforti,
I was afraid it is so 🙁
What I did is the way around it. I just opened a regular page that I password protected and in that page I pasted a link to a blog category. Now you click “Diary” and it says that the page is protected. When you enter a password it lets you enter a page and you need to click a link to get to the blog itself. One more click but it works 🙂
I just wonder when it will be just possible in WP since so many people try to use it. Unsucccessfully 🙁
Thanks again