Peter, here's an updated code fragment (/YOUR_ADMIN/add_customers.php, starting at line#391) that should correct the issue you identified:
Code:
                  <tr>
                    <td class="main Label"><?php echo ENTRY_NEWSLETTER; ?></td>
<?php
//-bof-v2.0.4-a
$newsletter =  ( (empty($cInfo) && ACCOUNT_NEWSLETTER_STATUS == '2') || (isset($cInfo) && $cInfo->customers_newsletter == '1') ) ? '1' : '0';
//-eof-v2.0.4-a
?>
                    <td class="main"><?php echo zen_draw_pull_down_menu('customers_newsletter', $newsletter_array, /*v2.0.4c*/ $newsletter); ?></td>
                  </tr>
Just add/change the code highlighted in red. I'll package this up shortly for submission to the plugins area. Thanks for the report!