When I press the DISCONNECT button, the Logout message is actually not sent because the TCP connection is already closed. If I manually send the Logout message from the New Message tab, it works perfectly — FIXYL receives the server’s response and only then closes the connection.
Maybe it would be worth adding a feature similar to Enable Auto Login, but specifically for Logout. That way, you could select the Logout message and have it automatically sent when pressing the DISCONNECT button, waiting for the server’s response before closing the connection.