Make sure to add the wpe-login parameter to the lostpassword URL.

my_fix_wpelogin.php

<?php
/**
 * Make sure to add the wpe-login parameter to the lostpassword URL.
 */
function my_fix_wpelogin( $url ) {
	$url = add_query_arg( 'wpe-login', true, $url );
	return $url;
}
add_filter( 'lostpassword_url', 'my_fix_wpelogin' );