Try reinstalling sound packager. There's a button on the Welcome panel that will allow you to set your sounds back to the Windows default. SP doesn't modify the sound settings for the Windows Default scheme, nor any other Schemes you may have created. It also doesn't modify any of the sound setup for MSN (or any other application) for any of the Windows Shound Schemes. But that doesn't mean that something couldn't have gone wrong.
If you're willing to play around a bit maybe you'll be able to diagnose what has happened on your system (before support gets the chance to follow up with you). The first step is to understand what you're actually looking at in the registry. I'll explain with a screenshot.

What you're seeing here is something *similar* to what you should see on your system. Now, look at the MSNMSGR > MSNMSGR_Buzz node that I have expanded. Let's explain what those do...
'.Current' - This contains the path to the file that is currently used by windows, under the current selected sound scheme, to play the sound when the event fires off.
'Sample_Package' - This is a node containing the sound file path for the file that the 'Sample_Package' SP package is instructing windows to play. This has
no bearing on any other sound scheme, created by soundpackager or otherwise.
That's where there is a misconception. Now, if you expand the 'Names' node you'll notice a '.Default' node, and a 'Sample_package' node. These nodes specify the name of schemes that are currently recognized by the system. The '.Default' node represents the default Windows Sound Scheme.

Now let's look at this next screenshot. See how the _NewSMSMessage node has the '.default' node, but the _Buzz node does not? That means that MSN did not define a default sound, for the default sound scheme on Windows, for the _Buzz sound even. However, MSN *did* define one for the _NewSMSMessage event. Now, that's not the fault of SoundPackager, but rather the MSN Installer, or application, which should be setting these nodes up properly. Unfortunately, if an application doesnt handle these things properly, even going through the Control Panel to setup sounds manually, 1 by 1, for a new sound scheme will have the same effect.
In the next version of SoundPackager we're going to automatically backup the settings that were present on your system, when SoundPackager is first run,
even if the original settings were incorrect or corrupt. that way you can always just revert. I don't have the exact date when the next version is coming out, but it's something to look for. As with any modification software, we're always battling the weird, unusual and incorrect things that other applications force upon the system.
I hope that explains some what is going on, and what you can look for in the future.
Edit: I also wanted to mention that registry cleaning, CCleaner and rebooting will have no effect on this area of the registry. If an application doesnt handle entries into this area of the registry properly, there really isn't much that can be done aside from manual editing, or using SP to reconstruct your original sound packager (which will create the entries properly according to the documentation).