Do I have to copy the login template files from the plugin to my theme (otherwise I can’t choose it in the Admin?) and add a page in Admin or is there a better way?
Depends on what you want to do. You can configure the route in the plugin configuration to match any page created by you (see GitHub - getgrav/grav-plugin-login: Grav Login Plugin). The login plugin will then automatically redirect to this page for any login operations. It need to be a login form of course, so basically the login template or create your own template with a login form.