SteveWh - 7:36 am on Aug 30, 2011 (gmt 0)
Bot visits actually are direct requests, so it's normal for the referer to be blank (in fact, it's suspicious if it's not blank), but you're right that robots normally provide a user-agent string, and it's unusual that one would not do so.
It's my understanding that it's possible to send a completely bogus (fake) IP address with a request, so these might not be from the MSN bot at all.
The real sender won't get a reply back from your server, but maybe they don't want one.
In fact, since your server's replies will go to the MSN IP address, maybe it's part of a DDoS attack on MSN?