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This thread is resolved. Here is a description of the problem and solution.
Problem:Unable to translate the page slugs used by the "Theme My Login" plugin.
Solution: Not a solution but a workaround. Theme My Login has many redirect options and filters that might interfere with WPML and it is not in our compatibility list. Even though the slugs can be translated through WPML -> String Translation, the plugin will only use the ones specified in the default language because it does not check if there are any translations for those.
One option is to use the plugin's hooks to insert the desired text via PHP and make it translatable.
Another option is to use a similar compatible plugin called Clean Login: https://wordpress.org/plugins/clean-login/ It's already in our official compatibility list (https://wpml.org/documentation/plugins-compatibility/) and they provide a guide for its WPML configuration: http://codection.com/clean-login-wpml-compatibility/