What you do is install amx, then in your amx folder you will notice there is a file, depending on what you are using, called amx.cfg or amxx.cfg. If you open up that file, you will find a whole lot of commands that are used to configure amx.
What this program does is give you a screen that has all those commands, and the possible values for them, and help on each command. You select the variables you want, then you press create. Then it makes a new amxx.cfg file (or which ever one depending on the version you are using) with all the commands you specify.
Here is a screen shot.
I just noticed the help for imessages is wrong, it should be format is "message" "colour"
I will fix that for a later release.
So to answer your question. Yes it does work for an already installed amx. In fact, you have to do it after install, otherwise it won't work.