This post on SEMAngel mentions:
“The recent launch of MSN Live Search sent shock-waves through the web analytics community. This wasnâ€™t because itâ€™s a significant step forward in Search â€“ especially for Microsoft â€“ 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 â€“ 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?