You're right, it should open up the edit page for you. (mine does anyways) Rather than clicking the link, did you try ticking the box and then up top hit edit?
Also remember that if your page layout changes from page to page, you may not see it. For instance, on some layouts, the front page has 3 columns while the rest have only 2. If your login was set to show up in that 3rd column, then you wont see it on the 2 column pages.