Kopete used to offer this feature, and you would get a little message when you initiated a chat with the person. It's not working for me anymore, and I think this could be to the change in the MSN protocol.
I dont know much about the protocol, but I think as for a 'Blocking Me' group, it would require polling the server for every offline contact at regular intervals, and this wouldnt be so great.
I would, however, like to see a feature like this, would be very cool.