[Remi-X]

return means that your callback will be ended.

Код:

public OnPlayerConnect(playerid)
{
  new pname[MAX_PLAYER_NAME], string[22 + MAX_PLAYER_NAME];
  GetPlayerName(playerid, pname, sizeof(pname));
  format(string, sizeof(string), "%s has joined the server", pname);
  SendClientMessageToAll(0xAAAAAAAA, string);
  return 1; //So here your script ends. (Solution is to remove this line)
  //And it wont reach this, but you have code below this.
  SendClientMessage(playerid, COLOR_GREEN, "Welcome to Michel's server, Enjoy your stay !"); 
  return 1;
}