How to link that “logged in” in “you must be logged in to post a comment” with custom login page on WordPress?

You could change the whole text by adding first parameter to your comment_form function. According to the Codex, the code below might help:

$comments_args = array(
        // change the must log in text and link url
        'must_log_in'=> '<p class="must-log-in">' .  sprintf( __( 'You must be <a href="https://wordpress.stackexchange.com/questions/131398/%s">logged in</a> to post a comment.' ), YOUR_CUSTOM_LOGIN_PAGE_URL ) . '</p>'
);

comment_form($comments_args);

Please change the ‘YOUR_CUSTOM_LOGIN_PAGE_URL’ accordingly.