MSN messenger uses the proxy settings configured in Internet Explorer (IE) browser. When MSN messenger tries to connect to the MSN server, WSA intercepts the request and decrypts it by using the HTTPS certificate uploaded or generated on WSA (Under GUI > Security Services > HTTPS proxy). Hence, the MSN messenger receives a SSL certificate for the MSN server but signed/issued by the WSA proxy, which it doesn't trust and so it doesn't proceed with logging in. .
Import the proxy's HTTPS certificate in the client machine in IE.
You can download the certificate from the WSA under GUI > Security Services > HTTPS proxy > Edit Settings > Download Certificate.
By default, the decryption policies on WSA 'Decrypt' sites with WBRS score of -9.0 to +6.0. In most cases, the MSN log-on pages would not normally fall in this default WBRS decryption range and hence this behavior is unlikely to be observed on default configurations.