I am not sure what is the purpose of that message. For enhanced security and preventing spam enabling the option “Users must be registered and logged in to comments” seems to be a wise choice.
Your message seems to suggest that with that option enabled the connection link will be visible anyway, which does not sound like a problem. Maybe, the problem is that that link will use the default login URL instead of the custom one defined in WPS Hide Login?If that is the case what choice would we he. Lower the defences disabling that option to oid leaking the default URL?