Perhaps this sounds a little childish, but it does annoy me. Surely it's rude to ignore a message from someone when it says you're actually online - ditto people who don't text back (though I'm guilty of texting back late sometimes if stuff was going on when I received the message).
If they expect you to treat them differently to how they treat you, then that's rude.
However, I think that MSN (or in my case face book chat) is not like real life, and it's perfectly fine to disappear in the middle of a conversation because you have some RL thing to attend to. I wil mostly keep typing at you until I run out of things to say, and then find something else to do. I do try to explain this to people, that I won't get offended if they disappear, and they shouldn't be offended if I disappear. On the phone or in RL you can tell if a child is screaming or a pot is boiling over (and phones are more portable than computers).