The 'redirect_to' parameter sent to wp-login.php is sanitized to prevent redirection to external sites. If you'd like to whitelist external domains, here's how:
add_filter( 'allowed_redirect_hosts' , 'my_allowed_redirect_hosts' , 10 );
function my_allowed_redirect_hosts($content){
$content[] = 'blog.example.com';
$content[] = 'codex.example.com';
// wrong: $content[] = 'http://codex.example.com';
return $content;
}