Recently, I needed to post to a MSDN forum. In order to post there they force you to have a Windows Live account.
So I sign up for one. While doing so, they offer to create you a new address at live.com. I said "sure", figuring it would be quicker than setting up an alias on my mail server. Big mistake.
After going in circles for about an hour looking for a way to get the forum to send my alerts to an email address I actually use when replies were made to my forum post (it kept sending me right back to the crappy live account), I finally Googled for a way to forward messages from Live (that I needed to use Google to find a feature in Live should give you an idea how well-organized Live is).
So, finally, I get to the long-searched-for forwarding screen and enter my email address.
Turns out "You can forward your mail to one other e-mail address that ends in hotmail.com, msn.com, live.com, or is part of Windows Live Custom Domains."
Well that's useful!
Also, near as I can tell, there is no way to access the Live email account via POP. So you're basically stuck going to their crappy site or using their crappy IM agent (who uses stand-alone IM agents these days, anyway?).
Maybe it never occurred to them that making useful sites which allowed people to work the way they wanted might actually produce more brand-loyalty than ham-fisted schemes to lock you into their closed system. Oh, wait -- this is Microsoft. Nevermind...
My advice: If you absolutely must create a Live account to access something, just say "NO!" when they offer you a "free" live account and register using an external email address from someplace like GMail.