It's funny, I have a WP7 phone and the lack an MS-blessed messaging system sticks out. You use Facebook account if you want to send messages through the Internet instead of SMS using the built-in features of the OS.
They bought Skype after the OS was created and never gave it the kind of deep bindings into the OS that other popular social networks (LinkedIn, Facebook, and Twitter) got.
I've since moved onto Skype's group chat, but nothing I've comes close to MSN. Maybe I'm just being nostalgic.