Okay, I'm calm now. I went through the registration again for the MSDN Managed newsgroups. I found that if I already signed in to another site with Passport then IE wouldn't bug me about it when I went to the Subscriptions page. Still bass ackwards if you ask me, but whatever.
Okay, so I set up the new newsgroup account....and it looks like all the same groups I can get as a NON-MSDN subscriber from msnews.microsoft.com. What did I do wrong?