I also find this a bit frustrating. I rely on Messenger for a security measure that Microsoft has yet to provide through their browser connections to live accounts (as far as I can see). Messenger has the ability to sign out from everywhere, so if I had signed in on another system, I can sign out from any system remotely.
I actually used that feature last week since I had signed in on my thesis advisor's laptop to allow him access to some files on my SkyDrive that it claimed were not downloadable even though set to public. Turned out it was the files themselves that it would not open since I could not even download them from my own account.
Anyway, Yahoo! has the ability to sign out elsewhere via mail.yahoo.com; will Microsoft give users the same ability after they scrap Messenger?