If they are following the old school MS tactics, the option is not nearly as easy to change as they imply. And one or more pieces of MS software will require it be set to MSN to work correctly, and it will randomly and silently revert to pointing to MSN every so often, and setting it to anything but MSN will somehow make the whole computer less stable.
Actually, I don't think this is an anti-trust violation unless MS has done something to make it hard to change or otherwise tried to tie it up. But MS has a history of doing those very things, so it certainly is worth investigating.
Jay