I use the portable version (and just tried with the one from the download page to double check) and all the settings, files, AppData and Library are kept in the MusicBee folder in the directory I chose to 'install' MusicBee to, there's nothing in the C:\Users\[user]\AppData\Roaming folder on mine, are you sure you got the portable version and didn't accidentally pick up the normal version, that's the only explanation I can think of?