Hi!
I have the same problem. I am using WordPress 4.0 and Pie-Register version 2.0.13.
The url changes to https://<website name here (removed)>.no/login/?login=failed&wp-error=%3Cstrong%3EFEIL%3C%2Fstrong%3E%3A+Ugyldig+brukernavn.+%3Ca+href%3D%22http%3A%2F%2F<website name here (removed)>%2Fmy-account%2Flost-password%2F%22%3EMistet+ditt+passord%3C%2Fa%3E%3F&pr-user-login=rij
We have selfmade norwegian localization as you can see “Ugyldig brukernavn” = Invalid username, “Mistet ditt passord” = lost your password.
Looking forward to your reply, thanks.