I read https://adminconsole.wiki.zoho.com/Editing-your-DNS-details.html and setup my own DNS to point FQDN  login.mydomain.norg to your IP 72.5.230.89.
Then i waited for some time, entered this address and got to the customized login page, i saw Login process (we use Google Apps auth), and after that Zoho imeediately opened some page and said "Page Not Found" (the URL looked like https://login.domain.org/biz/index.do?ticket=f5c6608e356b50d8253776f01c0e4261)

What wrong i did? Your docs says "Change the A Record to point to 72.5.230.89 with the Host name "@" ." Is it necessary? And if yes, what does it mean in terms of DNS?  "A" record for my domain domain.org?  Is it possible to point ony FQDN (say login.domain.org, as in the example above) you your IP and have a customized login page?