That might take a support ticket as your settings look correct
You might try ticking the backup box as if you want backups. Shut it down, Restart then UNTICK the box again and see if that does it. It is a long shot but I have seen this behavior before even in other programs where changing the checkbox doesn't change the actual setting wherever that is stored..
Failing that, open a support ticket. I cold not find anything in the program directory, Mail directory nor the registry that could be an easy fix.
If it works or not, please report back so the next person can find it