It's not a bug, the "normal" link should open up IE (as hotmail is webbased e-mail). To check the other/extra account(s) (pop3 ones) you go through the new Plus! icon on main MSNM screen, that will open up outlook
For your second account you probably use a pop3 e-mailaddy, so yeah that'll be opened in your default e-mail client (Outlook in your case).