When attempting to add a 2nd identity (email address), the server will not recognize the @msn address at all and just keeps searching for server configuration records.
Sometimes waiting a while, then trying again will solve the problem. If not, you can setup the account manually. Choose Mail > Other then enter the server details.
When the account is setup, if there are any errors, check that you have the correct port and security policy combinations. The underlined combinations below are the best option for security.
Port 587 = Force usage of SSL/TLS
Port 25 = Use SSL/TLS if available
Port 993 = Use SSL/TLS on special port (legacy)
Port 143 = Use SSL/TLS if available
Port 995 = Use SSL/TLS on special port (legacy)
Port 110 = Use SSL/TLS if available