As already mentioned this is a bug with empathy (or at least with some of the connection protocols used in empathy).
There is a workaround for the MSN protocol:
Empathy is able to use the same connection protocols that pidgin uses (libpurple) through telepathy-haze, which is installed by default.
For MSN to work, uninstall telepathy-butterfly:
sudo apt-get remove telepathy-butterfly
Then restart Empathy, which will now fall back to use telepathy-haze for MSN connections. You should now be able to set "use the http-method" under "Edit -> Accounts" after adding a new account for MSN.
There might be similar workarounds for other protocols. For me everything else works out of the box (at least behind the proxy at work).