as well as being a vector for worms and viruses, no real way of maintaining latest messenger versions, distraction from work, potentially, unmonitored communications, not blockable using a firewall on its own, it has games on it.
You can control it to a degree but if you allow it, do you also allow Yahoo, AIM etc to talk to other companies that doen't use MSN etc.
If you can trust the end users its not so bad but even then there is a risk, as Grenage says, it depends on the risks you are willing to take.
There are corporate messenger services that are more controllable too, but standard MSN is not easy to control on its own.
Cheers