Karim is on vacation, so I'll hopefully help resolve this.
The "r-login" is what we use to keep you logged in when visiting a site that is using a domain other than wordpress.com (e.g. in your screenshot, vegasjessie.com ). Most typically, an issue with this is because of either third-party cookies being disabled or a firewall/protective application blocking it from finishing the process.
We're not suggesting that you keep protection off, only turn it off long enough to determine if that service may be what is blocking normal operation from occurring. If we can isolate where the blockage is occurring, we can then work to allow it to work as expected.
Thanks for your patience.