Ahh, so basicly what you are sayin is that MSN restores those settings on restart (MSN today and the saving of convo's). This is very weird, as it doesn't do that on mine. I also have no idea how that can be caused other then maybe you installed MSN on an account without adminpriviledges. You could try installing it on the account called "administrator" in safemode (safemode to be sure the account has all priviledges), and see if that helps.
Edit: Ahh ok, that means MSN got buggered up somehow. I'm leaving my advice in this post incase it happens again and reinstalling doesn't work
/ 
