Thanks, Dan !
FWIW, one can still (I believe)
sign up for an msn.com domain name, as well, if one prefers that domain. From there, after signing in to one's account, aliases at the domains Big Dan lists above can be added to the account. This would mean that only the main account name/address would have the msn.com domain.
As far as I can tell, it's
not possible to add an msn.com alias in any way (except the old-fashioned way of created several msn.com accounts and linking them together somehow – auto-forwarding, etc.).