I think it's good idea to give your kids the chance to take real risks, with the consequences becoming progressively more meaningful (obviously you don't start with anything too harsh).
There are a huge variety of moral questions. If there's a safe real-world parallel, I agree that's probably a better lesson, but games can probably be designed to help fill in a bunch of gaps.
An MMO is still a social environment where you interact with other people. Those interactions can play out pretty much the same way they do in real life. The only difference is the protection of anonymity... which in my opinion is actually a negative difference. It relaxes people sense of social responsibility.
I won't be teaching my kids that it's OK to be a complete douchebag online simply because no one knows who you really are... and if I ever catch a kid of mine doing something like that, you can bet your ass there'll be some very real world consequences.