Shoutbox

The removed message is after a period of time when the MSN server classes your conversation as finished (because no one has said anything for about 5 minutes), so it doesn't matter what you have installed, this would happen normally just no "contact has been removed" message would be displayed.
As I said this message apears after 5 minutes or so inactivity. (I've noticed it sometimes quicker and not always depending on how long no one has sent a text message if one of the clients isn't connected via uPnP but that doesn't matter).
Just send a Plus ping to the contact, a message, or even just a blank message and then send the file, that way you don't have to close and reopen the window.