Our custom login page option is used to hide "wp-admin" and "wp-login.php" from visitors by setting custom route. In some cases this option won't work due to specific environment setup. Here are some of the options to look at.
Rewrite module must be enabled
The easiest way to check if you have rewrite module enabled is to open a page or blog post and check if "index.php" is NOT present in the URL - in that case rewrite module is enabled and the issue is not with rewrite module. If you are not sure whether your rewrite module is enabled or not, contact your hosting provider. They can probably enable it for you as well.
Invalid WordPress Address/Site Address
In some cases, "Wordpress Address" or "Site Address" options from "Settings > General" are not valid. Make sure that value of these options correspond protocol (http/https) and domain you use to access your site.