Maybe this learning path can help? https://academy.mendix.com/link/modules/183/lectures/1426/3.4.1-Creating-a-Custom-Login-Page
You can find the inbuilt login page in theme/web folder of your application.
yes if you enable the anonymous users you need to add login page for that user as it will add a new field of sign in page in the navigation.
you can give the URL in the format of /login in the page properties.
Hope this information helps.