It may be something to do with the version of messenger you're using, it may not be compatible with games just yet as it is a beta, there were several problems with previous msn 7 betas, shouldn't really worry, nothing to do but wait really.
Its probably just a server problem in your area then, or the person that you may be talking to is using a different version of msn, in that case, I doubt it will work with that, as winks do not work with lower versions, so games would not probably, try playing the games with the one who can play games.
just tryed it with the dude i talked about in my 2nd post....same thing. it wouldnt connect. let it go for about 5 minutes. it might be a server problem. but all the other features work except the 2 i talked about in my first post.