I like WLM, and the recently released 8.1 beta looks really good - it's certainly progressing in the right direction. But it's still missing one or two things that keep me going back to Gaim...

Tabbed Chats
On my laptop screen real-estate is a premium. Having 5 chats open takes a lot of desktop, and makes finding the specific chat a pain. Having them tabbed would reduce clutter and make the world a better place.

Other transports - Yahoo is okay, but jabber would be excellent
Currently 95% of my contacts are in messenger users. But there are a couple of people who use GTalk and a couple of bots I use that communicate via Jabber. And we won't talk about those Skype people ;)
Having WLM open up at least a Jabber transport would be awesome. They've shown that they can do it with Yahoo! (no use for me though) so hopefully another nod to the open source world wouldn't be too implausible...

Improved Outlook integration
While I'm not a huge fan of integration bloat having WML integrate fully with Outlook so it's smart enough to compare/integrate address books and gather data so If I've got an offline contact that I know more about than they've put in their Live profile I can (for instance) send them an SMS, or quickly bring up all the emails they've sent me