Ahhh... Well, awhile back, I'm not sure which version of MSN it was (may have been 5.5 or 6), but I had closed an instant messaging window with someone by mistake after I had said something. And so I went into my MSN window to re-open the window, and as I re-opened it, I noticed that at the bottom it did show they were typing a response. And sure enough, they were...
So, maybe you can look into that a little bit or something...Maybe the newer MSN versions have disabled that, I dunno. But either way, even if you can't get it to work whenever the window is closed, if you could get it to work when the window is open it would be equally as awesome.
Edit: Or maybe with the desktop contacts, you could make it so that if you have a contact added as a desktop contact, whenever they're online it makes sort of a 'soft' connection with them constantly, so that you always get that feedback from them. And if they're offline, or possibly have away or be right back or one of the other statuses up, there won't be any kind of connection with them at all.
