That's actually not what the setting does, and I agree it is worded very poorly.
You have to use Windows to auto start Joplin. That option only minimizes the app to the tray when you "close" it. Has nothing to do with auto starting.
Admittedly I am a Joplin Portable user, so I am not sure if the full install version has a setting for autostart, it seem to NOT have it per Whitewall's remark above.
Put a copy of the Joplin shortcut in to the Startup folder.
Find the startup folder for your profile here: C:\Users\YourUserName\AppData\Roaming\Microsoft\Windows\Start Menu\Programs\Startup
Just for everyone's information, since the startup folder is difficult to find, The Windows key and R (win-r) brings up a run command window. Then shell:startup opens file explorer directly in the startup folder. Much easier than walking there.
For the record, the shell:startup thing is only supported in newer versions of Windows. A more universal yet username-agnostic method is to copy and paste %APPDATA%\Microsoft\Windows\Start Menu\Programs\Startup into the address bar in Windows Explorer and press Enter.