The problem is they are redirecting *all* links through their own service. True, only if something smells fishy you will see anything SmartFilter related on the screen, but in the background all links you click are redirected through their own servers when you click them.
IE's SmartFilter works differently. IE keeps a database of a list of known bad sites. Updates for that list are automatically downloaded, usually when you open your browser window. Each url you visit is checked against the database of bad sites
locally, but if the site isn't known to be bad IE's SmartFilter will never report back to Microsoft's servers telling them all the sites you have visited. That's why there is a separate form to "Report this site as a phishing/scam site".
Messenger on the other hand will send
every link you click to Microsoft's server. That will enable them to see if any strange links are suddenly be distributed over Messenger on a large scale, but it creates a privacy concern, and makes any link you click load slower. Not to mention if the really wanted to be annoying they could inject a frame with advertising to any site you visit from Messenger. We already saw Digg.com doing such things... Twitter announced they will start forcing all links to go through their own URL shorter too... It's a creepy thing, basically these companies are now in full control of a large portion of the links you click day in and out.
Rafael Rivera wrote a good post on it:
Live Messenger and the “link harvesting black box in the sky”
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