A frequent question on the wp-hackers list (a mailing list for people who write both WordPress core code and plugins) is where plugin authors should place the Admin screens for their plugins. A majority seems to say they go under the Settings menu; while a not-insignificant number insist that they should all be under the Plugins menu because, duh, they’re plugins.
My take on this is quite simple: From the user perspective, plugins should be invisible. That is, the fact that such-and-such part of the interface was made by a plugin should be invisible. The best design for a plugin is to seamlessly blend into the existing interface so that someone who didn’t already know would not realize that that thing there is not part of the basic system.
Therefore, if you have a plugin that has something to do with managing plugins, go ahead and put the screen under the Plugins menu. If it just has a basic settings screen, put it under Settings. If the screen lets the user manage something, then “Manage” is probably the right place.
I have a plugin that lets people easily put pull-quotes into a post. The admin screen for that plugin allows people to set options that control what the pull-quotes look like. Therefore I put the screen under “Design” (“Themes” in WP < 2.5) because it's primary function was to control the appearance of part of the blog. The Design menu is where it made the most sense.
So: Don’t make your plugin scream “this is a plugin” to the end user. If it were going to be part of core WordPress, what menu would you expect the screen to be under? Put it there.
(On a related note, the header on the top of your plugin’s page should not say “Such and Such Plugin” — it should just say “Such and Such”. I’ve seen some otherwise wonderful plugins made so that the header on the admin page is the file name. Yuck!)