I think the current behaviour is fine. For example if you want to start a new MSN conversation with your friend and you first clear the old one, it would be annoying if the window closed and you had to open it again. It takes only one click to close it if you want after the clear, but if it would close automatically, it would take a few clicks to open again.

So I think that more harm to the user would be done if it closed automatically. But maybe there could be a setting for this so everybody could set it to suite ones own needs.