It had been reported earlier this month that Live.com is not passing the referer information. Later MSN clarified it saying that it was only a bug and "not by design". Microsoft has finally fixed the error and now it does pass the referer data.
At WebmasterWorld forum MSNdude posted that, "The fix went out a few hours ago, and it's nice to see that it appears to work. We do know this information is important to webmasters, and we regret the inconvenience."