Since Bing was msn search before, therefore they will keep it as msnbot because it's still part of msn
I know this thread is 3 years old, but in case anyone is wondering, Bing retired msnbot in October 2010. Here is the Wikipedia article.
Bing has announced that they are going to change the name of the Bing web crawler to BingBot. In the past Bing’s user agent was known as MSNBot.