Not correct....
It shouldn't matter at all if they are online or not. The DPs and CEs of your contacts are stored as temporary files on your local hard disk and don't depend on their status. Even if you haven't Messenger running at all, you would still be able to "extract" the DPs and CEs which were used before.
And for that you also don't even need any DP/CE Stealer, you simply need to browse to the correct folder and everything is there. The graphic files are just renamed with funny characters and without the proper JPG, GIF or PNG extensions though. If you have a decent graphics program which can give you a thumbnail view without depending on the file extension you would see all the DPs and CEs (eg: PaintShopPro).
Of course, DP/CE Stealers make it a bit more convenient, but they are not realy needed to steal (read: copy) the DPs and CEs.
Also see
CookieRevised's reply to Where does MSN store it's avatars?.
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