If I do end up doing something in this area, it will probably be adding a filter hook for the class. There is currently a filter hook for the dialog message, but this filters the content of the message only and not the full html string. (BTW, there is a filter hook for the login failed message dialog that does include the string, so you could filter the class for that. See: http://rocketgeek.com/plugins/wp-members/users-guide/filter-hooks/wpmem_login_failed/)
Please, excuse my ignorance, but I don't know WP lingo yet, as I'm just now becoming a WP developer. All I know, and am well-versed in, is CSS, HTML,DHTML, JavaScript, PHP and a little bit of JQuery. As such I don't know what the "filter hook" is. What I do now to style is use my Firebug to isolate and target an element (whatever it may be), and put in the needed style into either the external style sheet as "!important" or use my WP themes means to edited in inline style in all or only some of my pages.
