Quote: "I'm surprised Microsoft hasn't got rid of the service yet..."
As Eric mentions, it is very useful for Business Networks.
If you correctly set-up Windows XP Professional / 2000 / 2003 then your capable of making sure only given users have access to the Messaging System.
It's not possible in Home or Client versions. Also if your not connected to the internet directly, then there is no way fore the Adverts to come through. (this same bug stops a number of other things though)
So it can be useful to a large company to let employees know important information, say if your working at a stock company and it could flash up when certain stock drops.
Or your waiting for a delivery, the front desk could just message you it's arrived. It does have practical business uses, if applied correctly. Problem is it's basically pointless for home users.
Windows Service Pack 2 will disable it, by default.