That is the expected behaviour. The “Path to your Login Page” option is used to override the default WordPress login path. It does that by hooking into the WordPress login_url filter.
It doesn’t remove the default login route at /wp-login.php, so you can still go directly to that URL by entering it into your browser’s address bar. Instead of going to /wp-admin, go to /wp-login.php to use the default login page.
I can think of a way that the plugin could be updated to only redirect to the “Path to your Login Page” path for logging into Discourse, but that change would take a bit of work.