I don't block msnbot-media. It is used for several purposes including the Bing Image Search. If you don't want your images indexed, disallow your image directories in robots.txt or use an X-Robots-Tag in your directory's htaccess.
I would never use someone else's block list, ever.
I have to agree with dstiles, I also block the msnbot-media bot. It is a personal preference based on their observed behavior. They never 304 for images they already have and they seem to ignore no-index header tags for images used in css, have a sweet tooth for old buttons images kept for some legacy pages - and other useless image files. I recently noticed ignoring of robots.txt so they are blocked via UA. I don't have issues with Google-Image and other allowed bots. Their sprees of requesting hundreds of non-existing files didn't help.
I also agree with keyplyr - it is best to observe the access logs for your own site and not use block lists found online. Some are quite old, full of things that never visit and busy the server just a bit more as they check visitors for everything you have in the list. Split seconds can add up in load time.
Well if you block these media bots you block your link imagery from showing up in most of their social media as well as imagery for their maps & videos in the SERP. Personally I find this quite valuable, accounting for measurable traffic.