This isn't as much of a bug as it is lack of a very important feature.

Use case:
I change the settings of MsgPlus and put a passowrd to protect my conversation logs. All good, no-one can see anything in logs. I log onto my msn chat for some time and then I decide to go out and get an ice cream. While I'm out, I leave my msn on in case some fine young lady decides to write something to me. Another person from my household (brother/sister/etc.) comes to my msn, goes to the settings window, simply removes the check which says "Keep logs of conversations" and has some fun on my msn without me knowing anything. Well actually I can see afterwards if logs aren't saved or if there isn't a password. But what I'd like to see in MsgPlus is that no-one can change the settings (e.g. stop logging conversations) without perhaps having to type the old password. This lets me know, when I get back with my ice cream, if someone messed around on my msn. No you can also remove the check which passwords protects the logs. This could also have a validation o the type "enter old password first".

If there is a similar feature which I've missed then I'm sorry for the post and feel free to delete it. Also, sorry for posting here, since this isn't really a bug, I guess.

/F

As of right now, I don't see any way of directly change this. In the mean time, what I would suggest is to just lock messenger, and ask for a password on unlock. You can configure this option at Plus! preferences > Messenger tab > Messenger Lock.
Add a shortcut if desired (default is Ctrl - Space) and scroll down to add a password on unlock. To unlock, doubleclick the icon that messenger that has changed to and enter your password on your return.