Microsoft recently unblocked TinyURL.com URLs in Windows Live Messenger. They claim the blocking was unintentional. Based on this and their earlier blocking of YouTube I think the blocking is automated. The algorithm is probably triggered by a pattern or quantity of messages. It is probably meant to block malicious URLs sent by viruses or worms and it is probably triggered by activities such as many people sending links to a popular YouTube video to many of their contacts.
The article about YouTube blocking says that "a third party Microsoft partner manages URL blocking on the Messenger network". This is even worse than I imagined. This means content from messages you send via Windows Live Messenger is shared with a third party. Even if they only share URLs, that is a big deal. These URLs may contain or point to private information, such as files being sent to a contact, web sites under development, or even just the subject matter of the links.