I just tested this with MSN Messenger 6.2.0133 (original, unpatched), and Latest Plus (3.01.94) and it works just fine
I tested both with build-in emoticons as with custom emoticons. Also did the test with the color white and other colors also...
I also repeated the test with a MSN Messenger which was patched with "MSNEmoTyping"... Same positive result...
The emoticon shows up just fine...
EDIT: darn me... I didn't do exactly what you've reported
I typed the emoticon instead of selecting it... So I was too quick to judge... sorry