It is currently designed so that if you are a member of System Administrator or Realm Administrator roles then you must login via the admin link when that option is enabled. Logging in via My Account will result in an error.
If you have just delegated some permissions and are not members of either of those roles, that is intended.
I put this quick gif together. It shows the admin attempting to login my My Account and getting denied. Then a user that has some permissions to manage users, but not Realm or System Admin, that user is allowed in. Finally, a user that is a Realm Administrator attempts to login and is denied.