Are you referring to these chat logs? They are different from the msgplus logs and can still be read. You must disable the option (if it isn't already disabled) through the menu:
Tools -> Options -> Messages -> Uncheck 'Automatically keep a history of my conversations
Someone cannot see what logs you have just by using your account. However, if they wanted to they can see what logs you have through explorer, although they wouldn't be able to read them. If you want to hide these files you will have to find some other software to do this, as this is not a feature of msgplus.
Edit: oh, Einum's already said it.