Windows Live Messenger wave 4 - redir.us freaks me out

Colleagues send me links via MSN to a web page, and I see

Immediately started freaking out - what is rdir.us?
Not many people have written about this - the best I've found is Rafael's post here:

Live Messenger and the “link harvesting black box in the sky”

Short story:

• rdir.us is Microsoft Internet SmartScreen Filter
• It looks safe, but there's no way to turn this off.
• If the URL was http://link.smartscreen.live.com/?l=http://digg.com it wouldn't have looked as scary.
• I really wish it didn't give me such a fright
• Oh http://rdir.us doesn't have any explanation page