Outlook.com - Privacy and stopping Messenger auto sign-in?

I have 2 Hotmail accounts and a brand new Outlook account, all on outlook.com, linked together nicely. mmmmetro!

However, I thought I would mention that clicking the cog under the right hand column (of information tiles?) goes to a "My Personal Data" site where one can opt out of marketing and 3rd-party information sharing. May be useful to some.

Next, how on earth do I cancel the messenger sign-in? I've gone invisible, but it's still signing in, each and every time I switch accounts. I've not added/connected any other 'sites' or 'applications' to any of my accounts. 2 of my accounts don't even have any messenger contacts, so they're just empty windows of shame.

Appreciate any help. Internet high five: o/\o