When the computer goes into sleep mode, it is like shutting it down, in that it halts any and all processes.
Because nothing is happening until it wakes back up, that is why Entourage won't get it's mail. MSN will disconnect whenever the computer is put to sleep (or more annoyingly, whenever it damned feels like it).
So yes, this is normal behaviour with sleep mode, and the only workaround I know of is to not have the computer sleep. (But the monitor can always turn off, and the hard drives spin down.)
I still remember Macnutt.