This feature only works with Windows Messenger and NOT with MSN Messenger. It's an activeX control that handles the chat, but it's disabled in MSN Messenger, because of security issues or something. And it only works in IE (but you may have already guessed that, because ActiveX only works in IE).
People who don't want MSN's sh**ty adverts, or the worthless bloated crap of MSN6. Those are the people who use Windows messenger. I still think it should be removed though, as it does state it's for MSN, but obviously isn't.