Wagner [Wa88] proves, for $n\geq 3$, the existence of such polynomials with \[\mu(A) \ll_\epsilon (\log\log n)^{-1/2+\epsilon}\] for all $\epsilon>0$.
This was solved by Beck [Be91], who proved that there exists some $c>0$ such that \[\max_{n\leq N} M_n > N^c.\]
For more details see the paper [BoBo09] of Bombieri and Bourgain and, where Kahane's construction is improved to yield such a polynomial with \[P(z)=\sqrt{n}+O(n^{\frac{7}{18}}(\log n)^{O(1)})\] for all $z\in\mathbb{C}$ with $\lvert z\rvert=1$.