Your observations are spot on, Messenger dominated Western Europe for instant messaging in the early 2000s, in particular Messenger’s largest market for a good period of time was the Netherlands and Belgium.
I think luck would be a huge part, just being in the right place at the right time, but they did make some good choices which would have helped.
For example, Windows Messenger was “in your face” in XP, being the first thing you see after logging in – “Set up a .NET Passport!”. Another was initiatives with the mobile providers, which was driving the mobile explosion going on. As well, the early versions of Windows Mobile (2003+) were huge in some parts of the Europe/UK, all with Messenger pre-installed. At the time, Windows Mobile was dedicated towards development for the UK first, and even had an Orange UK cellular tower installed in Redmond for testing purposes.
In addition, one important feature other clients didn’t have at the time, particularly at the beginning, was good support for unicode and RTL text, which made Messenger desired in non-English speaking countries as it could write/transmit their languages properly.
As time went on Messenger became popular elsewhere in the world too, in particular Brazil and also Thailand and Messenger at one point in the 2000s was the mainstream desktop instant messaging tool worldwide. I’m not sure about the Yahoo/India thing, obviously there would be exceptions.
I found a neat little chart on this page, it shows the worldwide users over time per service till 2014:
I don’t think the Europeans (or anyone else) cared that Microsoft was American-based. As a multinational corporation that works in most countries in the world, with software/support in their local language, I don’t think it would be a big factor in instant messaging choices.
This was due to a preexisting contract I believe, as they had to partner with a local Chinese company in order for service to be there. I would imagine it would be far easier and cheaper just to let the contract run its course than to have to pay to break the agreement.