It works fine for me, but it's a little tricky :)
- First open the PuTTY configuration.
- Select the session (right part of the window, Saved Sessions)
- Click Load (now you have loaded Host Name, Port and Connection type)
- Then click Logging (under Session on the left)
- Change whatever settings you want
- Go back to Session window and click the Save button
Now you have settings for this session set (every time you load session it will be logged).