Which exact settings are you talking about to be more precise?
Also remember that many settings will only be taken effect if you close all (chat)windows first. And for even other settings you also need to restart messenger.
The Apply button is only provided to save the just made settings; it doesn't mean they immediatly take effect.
So this is not a bug.
PS: please do not double post. This also goes for bumping a thread or post. Be patient. The forum is currently very active and many questions are asked. Support can't be given instantly to everyone at the same time.
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