i guess you are right onion, it's illegal to obtain people private information WITHOUT his/her permission
however, in msn messenger you can choose whether or not you want to participate in the Customer Improvment Program, so if you want to participate, then Microsoft will send information on how you use msn messenger... so that's legit. on the other hand, ms will never send your information to them if you dont want to participate/ without your permission. my friends agree with me too
however, i dont know if microsoft will log all your conversation... so i suggest not to log your conversation on msn messenger (just in case if this is true), but i dont think this is true!
99% sure that this is a rumor