The port is a registered port,
afs3-callback 7001/udp callbacks to cache managers
according to
here.
The situation as far as I am aware is this:
The callback is needed so you can know when your cached file is updated. The point is that you are absolutely sure when your cache-file is up-to-date. The files are cached locally even when they are not used and they stay in the cache until they get garbage-collected (because of full cache) or until you get a callback.
Although it may appear on the surface that MSN Messanger is working properly with this port blocked, my guess would be that due to the nature of what I have posted above, there IS the possbility that you will have an out of date cache with this program and something COULD go wrong.
I would allow the program to access the port.