When certain applications are installed, it sets the following registry value:
[HKEY_USERS\S-1-5-21-796845957-926492609-725345543-1003\Soft*ware\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders]
AppData = %AppData%
The problem here is AppData should actually be the following
AppData = %USERPROFILE%\Application Data
So when MSN or other apps that use that registry key go to save their data it gets lost.
So the solution is simple, run regedit and go to
[HKEY_USERS\S-1-5-21-796845957-926492609-725345543-1003\Soft*ware\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders]
and set the value AppData to a data value of %USERPROFILE%\Application Data
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