This is a major flaw with MSNs passport service, NO you do not have to verify the account before signing onto it. If you do sign on to it however, it will have a (Account not verified) after it, but a long display name can easily hide this from view.
At any rate, the FBI would have absolutely no reason to add you on MSN because if they needed to talk to you they would just knock on your door.
Also I would like to add, if this individual attempts to get any information from you what so ever then just tell them you are reporting this with logs to firstname.lastname@example.org
and to impersonate a FBI agent is (usually) a federal offence and that you are now going to block them.