Did you try adding video.msn.com in url blacklist? The url filter is pretty smart. You can use msn.com to block the whole msn domain but video.msn.com will only block msn video if your video is really coming from that domain. Knowing microsoft though it is highly likely that its akamaized.
Edit: Sorry let me rephrase, a lot of larger companies use akamai technology to distribute content. Blocking video.msn.com will block content directly coming from microsoft server but not if it is akamaized.
Sounds like Billybob got it right. If blacklisting it doesn't work, please show a picture of your blacklist and an extract of your 'Content Filter (HTTP)' log when the connection is allowed.
Cheers - Bob
Sophos UTM Community Moderator Sophos Certified Architect - UTM Sophos Certified Engineer - XG Gold Solution Partner since 2005