I don't think we should have it, as it would slow the site down, especially with the amount of people who use it.
What's wrong with using MSN, Yahoo or Skype like others. or putting up with posts, IMs and PMs. I alerts you when you get a message and you can put links to your MSN, Yahoo or Skype accounts so you have opportunity to chat with people that way if you wish. I see no or little use for instant chat to be here.
it would also be hard to set up and more work and pressure on the admin and mods, due to filters needing to be made, and allowing private chats, or chat rooms or the likes. The threads, instant message and private messages is enough.