That url does not appear to be using the widget.
The widget uses the wp_login() internal function to generate the link, so either you’re using a different widget, or wordpress thinks your login url isn’t what you want it to be, or you have a redirect setup for the correct url (is my guess)
I’ll double check the code, but this hasn’t been changed for a long time and this is the first I’ve heard of that happening.
Yeah I just looked and it uses the unaltered native function:
<li><?php wp_loginout(); ?></li>
So, check your redirects probably.