Action wp_login_failed not working if only one field is filled out

Add this filter to change how blank username/password is treated:

add_filter( 'authenticate', 'custom_authenticate_username_password', 30, 3);
function custom_authenticate_username_password( $user, $username, $password )
{
    if ( is_a($user, 'WP_User') ) { return $user; }

    if ( empty($username) || empty($password) )
    {
        $error = new WP_Error();
        $user  = new WP_Error('authentication_failed', __('<strong>ERROR</strong>: Invalid username or incorrect password.'));

        return $error;
    }
}

And then your original redirect on wp_login_failed will work with blank username/password as well.