It should work if you place libopenmpt_settings.dll in the winamp main directory instead of inside the Plugins directory. Since r3545, in_openmpt.dll will also try to load the settings dialog from the default Plugins directory.
I also updated the FAQ on the website.

If I place libopenmpt_settings.dll in the winamp main directory, with r3537 it shows the same error notice, but whit r3538 it shows the config windows.

r3538 will still show a error warning if libopenmpt_settings.dll is in the WA Plugins diretory (C:\Program Files (x86)\Winamp\Plugins).

Maybe some path / x64 OS related issue?

Hmm, between r3537 and r3538, nothing changed regarding loading the settings dll. I'm confused.

http://buildbot.openmpt.org/builds/auto/libopenmpt-win32/libopenmpt-win32-r3547.7z works for me when placing libopenmpt_settings.dll in either directory. Remember to always update libopenmpt_settings.dll as well as in_openmpt.dll itself.

Yup, I oviously update both of them at the same time.
r3547 does show config dialog even if libopenmpt_settings.dll is not in the root folder of WA, so it's ok now.
I don't know what was happening with past revs, I'm no programmer, but I'd say that now it's fixed.
Thanks.