Hi Shaun,
That is very strange. I'm not able to reproduce it on the demo site nor my local machine. Are you sure that is not coming from some custom javascript you guys have added yourself? Does it happen also using skins shipped with mojoPortal?
Since it does not have a user friendly message it sure looks like a developer work in progress not something fully baked so it seems unlikely to be coming from the WLM widget itself and it isn't anything I've implemented in mojoPortal (at least not yet we are looking at doing something like that once content has changed in an editor if it has not been saved, but I have not done any work towards that yet).
funny when I google for "live messenger leave this page" this forum thread is the first result which is nice since it shows our forums are indexed frequently, but I don't find any other reports of the problem.
Best,
Joe