This option used to work but somehow stopped along the way. All I remember doing was change the smiley theme and the GTK theme too so it can't be interference from a new plugin. It used to work a few days back.
I also get the crash-on-exit mentioned in another item.
Running Pidgin 2.5.2 on WinXP. Installed plugins: Bot Sentry, Buddy State Notify, History, Offline Msg Emulation, Windows Pidgin Options, and of course Extended Preferences.