Shortcodes and the Protected content message

I’m having massive problems! I have spent about 6 hours trying to get my content to be protected and to allow a user to log in on a protected page they are trying to access if they have not yet logged in. Under the Content protection tab, I don’t see any of short codes listed (like in page 23 of the manual). I have already created 4 membership level types and the related short codes don’t show up. My real problem is that I can’t use shortcodes in the Protected content message box. If I was able to use shortcodes, I could use a log in form from the Theme My Login plugin (which I have to use due to the limitations of the membership plugin). Can someone please help!