David,
I took a peek, and it appears you're right - there doesn't appear to be a setting for that.
However, you can still fix it.
in your home directory, cd to the .amsn directory, then if you do an ls you should see a directory with your msn profile name, cd to that directory.
In there you'll find a config.xml file, open that puppy into your text editor, and find "mychatfont" in it, the section from mine looks like the following:
<entry>
<attribute>mychatfont</attribute>
<value>{Helvetica} {} 000000</value>
</entry>
If you change that value, it'll change the colour - the value is "HTML style" colour coding, the first two digits are the amount of red, 2nd two are green, 3rd two are blue, and each range from 00 to ff. For example:
To make it blue:
<entry>
<attribute>mychatfont</attribute>
<value>{Helvetica} {} 0000ff</value>
</entry>
Red is ff0000, green 00ff00, white ffffff, grey 808080, etc
I think I'll pass a note along to the amsn developers - they'll likely add it as a feature.
Cheers!