Sorry but this is how Firefox is expected to work, AutoPinTab doesn't change this behavior. CTRL+W shortcut won't close pinned tabs: they must be unpinned or closed explicitly (right click | close tab).
You can right click on the page you want to be "autopinned" and create a pattern based on its URL using the new context menu items. You can also access the options page through the same context menu. I've just added two screenshots to show what I mean.