I think one of the reasons why your conversations feel more awkward is because you can't really put as much text into MSN messages than in e-mails. Getting used to the difference between e-mailing with someone and chatting with someone also takes a while since your conversations will be different.

It's a bit like that for me too, except on a slightly different way. When I'm used to talking with my IRL friends either face to face or on the phone, it feels really weird talking to them on MSN Messenger, and our Messenger conversations just aren't the same as IRL conversations. Alternatively, there's a few people with who I've talked a lot in the university's IRC channels and queries, but I'm not really sure what to tell them when seeing them IRL. I'd say go with the way of conversation you two have got used to and what feels the most natural for you.