Per aiutare la comunità posto la mia soluzione... che a dire il vero non mi sembra elegante, però fa il suo dovere. Se qualcuno ne avesse una migliore la scriva qui:

Codice PHP:
if(!empty($errors->errors)) {                     foreach($errors->errors as $key => $value) {                switch($key) {                                    case 'empty_username':                 case 'username_exists':                case 'invalid_username':                                        ?>                    <script type="text/javascript">                        jQuery( document ).ready(function ($)  {                                $('#user_login').addClass('error_field');                            });                        </script>                    <?php                                                break;                                    case 'empty_email':                  case 'email_exists':                 case 'invalid_email':                    ?>                    <script type="text/javascript">                        jQuery( document ).ready(function ($)  {                                $('#user_email').addClass('error_field');                            });                        </script>                    <?php                                    break;                                    case 'empty_first_name':                     ?>                    <script type="text/javascript">                        jQuery( document ).ready(function ($)  {                                $('#first_name').addClass('error_field');                            });                        </script>                    <?php                                    break;                                    case 'empty_last_name':                     ?>                    <script type="text/javascript">                        jQuery( document ).ready(function ($)  {                                $('#last_name').addClass('error_field');                            });                        </script>                    <?php                                    break;                                   case 'empty_password':                 case 'invalid_password':                case 'password_mismatch':                    ?>                    <script type="text/javascript">                        jQuery( document ).ready(function ($)  {                                $('#pass1').addClass('error_field');                                $('#pass2').addClass('error_field');                            });                        </script>                    <?php                break;                    default:                 //echo $key;                    break;                }        }             }
Questo codice l'ho inserito all'interno del file wp-login.php dopo la chiusura del form di registrazione.
Ovviamente la classe error_field definita in un css che carico ad hoc per la pagina di login personalizzata.

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