similar problem was indicated here https://stackoverflow.com/questions/31066775/how-to-retrieve-wp-error-in-custom-login-form

Hello,

I finally found the culprit which is a plugin called page restrict at https://wordpress.org/plugins/pagerestrict/ when I deactivated the plugin the login errors are now showing

Thanks for your patience and support

Thanks for the recent update it works. Now for better security I do not use username to login but only email address with custom login error message. When I applied the code below in my functions.php. The login error that shows is (invalid request) instead of (Invalid email or password) as indicated in the code below, also the limit login attempts does not work with the code below. Is there another way to achieve login with email address only without any form of compromise with the bp branded login plugin.

 remove_filter('authenticate', 'wp_authenticate_username_password', 20);

 
add_filter('authenticate', function($user, $email, $password){

    //Check for empty fields
    if(empty($email) || empty ($password)){        
        //create new error object and add errors to it.
        $error = new WP_Error();

        if(empty($email)){ //No email
            $error->add('empty_username', __('Email field is empty.'));
        }
        else if(!filter_var($email, FILTER_VALIDATE_EMAIL)){ //Invalid Email
            $error->add('invalid_username', __('Invalid email or password.'));
        }

        if(empty($password)){ //No password
            $error->add('empty_password', __('Password field is empty.'));
        }

        return $error;
    }

    //Check if user exists in WordPress database
    $user = get_user_by('email', $email);

    //bad email
    if(!$user){
        $error = new WP_Error();
        $error->add('invalid', __('Invalid email or password.'));
        return $error;
    }
    else{ //check password
        if(!wp_check_password($password, $user->user_pass, $user->ID)){ //bad password
            $error = new WP_Error();
            $error->add('invalid', __('Invalid email or password.'));
            return $error;
        }else{
            return $user; //passed
        }
    }
}, 20, 3);
 

Thanks for your support