MBSA can return false positives, it doesn't know how to handle the case
where it thinks you have a vulnerability because the feature wasn't even
installed. This is a known issue with MBSA, we're working with the security
team to understand how MBSA can handle that case and not freak out the IT
people when they're scanning embedded devices.
The issue with MBSA is that it will offer to install updates for you off of
the WindowsUpdate site which is a definite problem for you if you let it do
that since WU has no knowledge of XPe, either. The WU issue will be
addressed for Longhorn.
So generally, you can use MBSA as long as you're smart about interpreting
the results and take all the caveats into account.
Andy