I've turned on "My Domain" but am unable to change the color of the login button or "Forgot Your Password?" link. I don't see anything available in the My Domain screen. The settings for My Domain show the same in Lightning as in Classic. I went into the Developer Console and tried looking for something. Things like "loginForm.css" and "selfRegister.css" don't change the page.
Does anyone know where the page is, so that some colors settings could be changed?