Sorry if I'm confusing the situation. Basically, as mentioned, now that I have unchecked all my accounts so that none is included if you just click "Sync", no emails at all are being downloaded unless I request them. Which is fine by me, and is what I meant when I said that I can live with it. I should have been more effusive. It's great! I didn't mean there was still a problem. You and the other correspondents have shown me how to get things working as I wanted, and I'm grateful to everyone.
The reason I was still wondering if there's an underlying bug is just that it seems to me that it shouldn't actually be necessary to uncheck all the accounts in this way. If you uncheck "Check for new messages every ..." and you also uncheck "Send and receive messages at startup", I would have thought that this should be enough to tell Windows Live Mail that you don't want messages downloaded at any time unless you request them.
The system seems to be set up to work in pretty much the same way as Outlook Express, and in OE, if you did all the above, messages were not downloaded at all unless requested. I don't see why Windows Live Mail should have changed the rules from that situation. It appears to offer the same control as OE, but apparently doesn't quite live up to it.
But it's really not a big deal. It works fine for me. I just didn't want to duck ouf of this without querying that underlying point.