This post on SEMAngel mentions:

“The recent launch of MSN Live Search sent shock-waves through the web analytics community. This wasn’t because it’s a significant step forward in Search – especially for Microsoft – as because the initial implementation failed to pass a referring site when a visitor clicked through. This is a fundamental piece of information for analysis – one that allows web analytic tools to understand that the visitor is coming from MSN Search and treat the data accordingly.“

That’s got to be a bug, surely?