I think with MSN Plus you got to close the window to save it. Like if I was going to bed and shutting down the computer, I'd have to close all the chat windows to save the logs. If I didn't then when I go back and try to find them... they aren't there. I wish it was like normal MSN where it'd just save it... but I guess we all can't get what we want.
And I LOVE going back and looking up some old logs. Some of them are soooo funny and sooo messed up. I got some of the most messed up friends on PC. XD