Yes - for two reasons.
1) Windows Messenger is a part of Windows, so ANY update to a
Windows component is welcome, because it also means patching up a lot
of security holes. Even if you dont use Windows Messenger, its always
good practice to update your XP CD with the newest components so as to
alyways have the latest and most secure setup.
2) Many people prefer Windows Messenger as its very light on the
system. Its something that they dont have to install seperately,
something that they dont have to bother about updating (updates for
WinMsgr are not frequent, unlike MsnMsgr). It gets the basic task of
chatting done, without all the extras like handwriting, gleams, etc
which many people dont use.
In the end of course, its the users choice. If you dont use Windows
Messenger AT ALL and you dont even want to download this update, then
don't forget to remove it from your XP CD itself (using nLite) if you
havent done it already.