Could you try to save your setting and after close amsn without using it first? It sounds like a known bug I've already reported something like a year ago...
** Changed in: amsn (Ubuntu) Status: New => Incomplete -- You received this bug notification because you are a member of Ubuntu Bugs, which is subscribed to Ubuntu. https://bugs.launchpad.net/bugs/774494 Title: aMSN does not remember minimise/exit preference -- ubuntu-bugs mailing list ubuntu-bugs@lists.ubuntu.com https://lists.ubuntu.com/mailman/listinfo/ubuntu-bugs