I tried in Forums>Settings>Members the following:

http://mysite.com/login
http://mysite.com/register
http://mysite.com/lost-password

but I am getting page not found.  

This slugs should not be a simple phrases. You should have pages with these slugs. Please read the description of this option. This option is good if you have other plugins which come with own/custom login/register pages or the theme has it's own login/register pages. So you could insert these page slugs in wpForo settings. If pages with these slugs don't exist you should not insert, and you'll always get Page Not Found error.

BTW: I don't see what are you trying to do. maybe this topic can be helpful:

https://wpforo.com/community/how-to-and-troubleshooting-2/how-to-add-wpforo-menu-to-pages-and-posts/#post-1792
https://wpforo.com/community/how-to-and-troubleshooting-2/how-to-add-loginlogoutregistration-buttonslinks-to-homepage/#post-1146

Go to Pages>New Page( create login, register& lost password pages).. But for that u need custom login, and register form..

I created a custom register page for my site with email verification to keep away spammers from spam registeration..My Theme has register page shortcode..( U can check here.) www.mads-study.com/forum/

I tried in Forums>Settings>Members the following:

http://mysite.com/login
http://mysite.com/register
http://mysite.com/lost-password

but I am getting page not found.

Furthermore, using this way will the Login menu turn into Logout after users login?

Is there any way to add in Wordpress menu a Login/Logout menu button, so that any user can login/logout without having to visit the forum page?

Regards