Have you activated it inside widgets on the side bar?
Have u checked the “Membership” link on General Settings? U must select one choice otherwise the link will not appear… I had the same problem before and only after one whole nite without sleep that I was able to solve it. Good luck!
Follow this link is for MU but it is the same criteria…
http://codex.ww.wp.xz.cn/MU_Theme_Login
