I found this setting in my config.xml :
<entry>
<attribute>notifyonlysound</attribute>
<value>0</value>
</entry>
Setting it to 1 (with the (1) and (2) checkboxes checked) disables the amsn notification popup, but the sound is still here ...and the Notify plugin notification too!

So that's my (not so bad) workaround for the moment, I think it would be handy if the notify plugin would set it to 1 when enabled, and back to 0 when disabled (if it is possible). Oddly, I didn't find anything in amsn prefs window to modify this setting.