This setting defines the page Memberium will redirect users to who go /wp-login.php/ (the default WordPress login page).
If you set this to a page that does not have a Memberium login form shortcode [memb_loginform] on it, users will not be able to login to the site. If you are in that situation, you can always go to /wp-login.php?action=override to override Memberium’s redirect effectively allowing you to login using WordPress’s default login form.
Most customers want the ability to style and present a custom, non-WordPress themed, login page and this setting will enable you to do that.