Microsoft AntiSpyware Beta will always detect Messenger Plus! as spyware, even when you don't install the sponsor.
It's not true that Messenger Plus! installs spyware when you choose not to install the sponsor. This is a known problem in Microsoft Antispyware as well as in Gian't AnitSpyware (which Microsoft bought).
Listing Messenger Plus! as spyware when the sponsor wasn't installed is false, i tried to contact Microsoft about it and am still waiting for their reply. There are also a few topic about it here:
Microsoft's Anti-spyware Software...
Microsoft® Windows AntiSpyware (Beta)
MS Antispyware says Messenger Plus is adware
Microsoft ANtiSpyware Beta1 - False detections (not only Plus!)
The data Messenger Plus! sends over the internet are just statics, like which features you use and which version you use. Every of those statics are just numbers, there is
no way Messenger Plus! sends private data like name/emailadress/sites your visit or even your password. You can turn of this in the preferences btw.
I suggest to scan your system with another program,
AdAware is a well trusted software and has a free version. See if AdAware detects Messenger Plus! as spyware too.