More than likely you have not instantiated it yet.
If you run the program at this point, the setting isn't actually created so if you try to add or remove an item from the collection you'll get the error "Object reference not set to an instance of an object."
There are a couple of ways you can fix this. First, you can create the setting object at run time if it is null, but this is a bit of a hassle.
A better solution is to click the Value text box on the Settings page. Then click the ellipsis to the right to open a String Collection Editor. If you close this without adding any strings, the Settings window still doesn't actually create the setting object. To prevent that, add a string to the String Collection Editor and click OK. Then open the editor again, remove the string, and click OK. This keeps the setting object but it's empty.