This is by design, and yes I know it can be a pain, but the remember me checkbox is there for your convenience.
So, why did we do this?
Simple answer is that it stops bots dead, thus preventing the forum being taken over by spam and spam groups.
Complex answer, the plugin that stops these robots works on the normal wordpress page, but not a custom one. You receive the custom page first, but it doesn’t know about the plugin, so the first round of authentication fails. You are then presented with the normal wordpress login page, which knows about the plugin, and you can login normally. This is more of a theme issue than anything else, but as a result there are no spam problems; a highly desirable result for you and us.