You’ve covered a lot of material here, settings, caches, all of these are in different places.
%appdata%\microsoft\MSN Messenger will contain your local store of emotions, winks, local contact list cache etc.
“Settings” are in
HKEY_CURRENT_USER\Software\Microsoft\MSNMessenger, which I think you already found.
There’s more configuration to be found in HKLM but I don’t think that’s what you’re after.
For 7.5, everything else is stored in the “old IE” InetCache cache, the location of which is different per Windows version. In Windows 10, it’s found under
%localappdata%\microsoft\windows\inetcache\low (folders and files here will be hidden by default).r
Later versions of Messenger have a local cache of Messenger resources is stored in the user temp folder under MessengerCache.
To remove your password/saved credentials, just click ‘Forget me’ in Messenger’s sign in screen (sign out if you’re signed in automatically).