Hi macca,
First, it was for prior versions of Messenger, not Windows (though that may also be true but I don't know that for a fact) - but in any event, things are quite different with Essentials 2011 (as you well know).
I have essentially the same setup with WLMail 2011 and WLMessenger 2011, though I don't have the accounts active in WLMail 2011 and use Outlook 2007 except for newsgroups where I do use WLMail 2011. Still I tried to do what you want for quite some time (I hate being unable to do something) and could not find a way with the accounts separate. If there's a setting anywhere in either program, I'll be danged if I can find it. I've posted the question in the Windows Live Forums to see if those supposed "experts" have any answers (even if it is that it can't be done).
I suspect it is possible if you combine the accounts all into your hotmail account as opposed to being separate accounts (or perhaps set the POP accounts to automatically forward e-mails to the Hotmail account and establish a rule to put them in a special folder you can easily empty from time-to-time as it builds up - but I'm not yet certain about this - I'm just considering a variety of options). Then I'm not sure if Hotmail would even know the difference and may report all the e-mails but I'm not certain you could tell which account the e-mail came from and I really haven't looked deeply into how this is done or the ramifications of doing it.
Also, if you clicked Messenger to open the emails, it would open the Hotmail account and I don't know how to add the others to open from Messenger and I don't think it could tell the difference between the accounts though if combined with rules for separate folders in the inbox, it might be simple to locate the new ones in the Hotmail inbox folders (but again, I'm just theorizing at this point). I will do further research if my inquiries suggest this is a possible solution - and may do so anyway just for the learning experience though there isn't much available yet on these rather new products (and if I trust the person answering - not everyone is of the same calibre as you well know) and report back (though I may provide an interim update if I learn anything of interest).
I know this doesn't answer your question yet (though it may give you some ideas to consider or options to ascertain if they would be satisfactory or you would find them too complicated or harder to manage or not worth the hassle and better to leave things as they are). We'll keep working on it in the meantime and see what's possible and what isn't possible and the consequences if it is possible. Please be patient as I don't know how long it will take to do all this or find the answers you are seeking.
I hope this at least helps explain why you're having trouble figuring out how to do it and that we can, in time, get you some better responses.
Good luck!