Custom Login Url with plain permalink format

I suspect this isn’t working because you’re using a query string ?page_id= as the custom login URL. Are you not able to configure a mod_rewrite to use a “pretty permalink?”
https://codex.ww.wp.xz.cn/Using_Permalinks

And since Force Login is using the builtin WordPress function wp_login_url( $redirect ) to get the login URL to redirect to – while also passing a $redirect URL for after a successful login – it might be having trouble appending a second query string to the login URL for the after login $redirect URL.

Have you tried using the get_permalink() function instead of the site_url() function to specify your custom login URL?

//Custom Login URL
function my_login_page( $login_url, $redirect ) {
    return get_permalink( 2487 );
}
add_filter( 'login_url', 'my_login_page', 10, 2 );

Otherwise, I suggest using mod_rewrite and your .htaccess file to create a custom login URL that works without the ?page_id= query string.

The problem is that if I try accessing a blocked page directly, Force Login seems to break so I’m not directed to a login page.

Can you be more specific about what is happening? Are you getting a PHP error – if so, what does it say? What exactly is happening when it “breaks?”

If you disable the Auth0 plugin, does everything work as expected? If so, then yes – the issue is caused by a conflict with that plugin.