Actually I also was about to write about this option - thought AFAIK it isn't possible for now due to technical reasons described
here. Now I don't know the full technical details as to why this doesn't work, but I can guess that in the early vista days it wasn't worth it to dig into the DWM API (which could be lacking - as any, especially early - microsoft APIs). But now with Windows 7 around the corner, and the sound usability improvement it could provide if the tabbed conversations would work like expected - and more, with the new taskbar previews API, perhaps it can be worth to look into this once more.
Just to elaborate on the request - for those who don't run/know about Win7, here are some pictures that explain it:
IE8, with a few open tabs, when moving the mouse over the taskbar
WLM2009+MLP4.79, tabbed chats disabled
And finally, WLM2009+MLP4.79, tabbed chats enabled
Now, in the best case (the requested) scenario the second and the third images should look exactly the same. Also an additional benefit of fixing it could be that tabbed windows previews will start appearing in the Flip3D interface, and in the vista taskbar previews.
Hope this adds a bit to the discussion, and clarifies this a bit.