Identity Safe Login

I have successfully used Web Protection/ Login for some websites but a recent attempt to set up a new one leads me to the correct site page and prompting me to enter my username and password.  If I just click on Login a message that the username or password is incorrect appears. If I manually enter the username and password it opens the required site page but I wanted to avoid having to manually enter which was the advantage of Identity Safe.

What have I done or not done?