It is not necessary to create a dedicated login page, although in some cases it may make for a good user experience. Whether you do or not is entirely up to you and the user experience you provide.
To create a dedicated login page, begin by creating a new page. Then in the body of the page, add the [wpmem_form login] shortcode.
You may wish to set the location of this page in the plugin’s settings, although this is optional.
Note that when you identify a page as being the login page, you cannot restrict the page. If you are using the login form, you can implement content for the logged in state of the page. But you cannot mark this page as restricted.
For additional help, see How to Add a Shortcode.