Users not logged in aren’t prompted to login?

I’m using the latest WP Private Content Plus plugin,

but when a user goes to the private content page that I setup, if they are not logged into their own account, they just get a page saying “No content found.”

Instead of this happening, they should be automatically prompted to log in. Am I missing a setting somewhere or is this not how it works?

I could make all links referring the the private page actually lead to the /wp-login.php with arguments of ?redirect_to=<url to private content page>, which I do as a work around on the private contact page. (“If this page is blank, login.”) However, this solution is not really good, as if they click on the menu item that leads to their private content, and the URL is to the login form, it goes to the login form even if they are logged in.

The actual behavior should be – Click on link to Private Content: If loggedin, display content. IF not logged in, display login form and redirect to content.

Is this possible?