Currently a Mendix app will not show labels in the users language on the login page. To allow this you need to use anonymous users and build an actual login page.
I would also like to get language detection without anonymous users enabled.
Given that it seems as if everything is already preprared for this in the default login.html – there is a js/login_i18n.js script included – It should be easy to serve this file depending on the request header sent by the browser.