Well, I'd try deactivating all plugins and changing the theme to the default, and see if you can reproduce the problem like that. Then add things one by one, testing after each if the problem comes back.
What you're getting is not an s2Member restriction in action, that would always redirect you to the Membership Options Page, never wp-login.php.
There's something else at play, although I don't know what. I'm not familiar with the setup you're creating there, with the subdomain.