At the moment BizTalk Server 2006 (the current release) is not supported on Windows Server 2008 which means it cannot make use of the new features in MSMQ 4.0.
The version that will run on the latest server operating system was announced back in September and will be called BizTalk Server 2009 (see the roadmap for more details).
For MSMQ-specific information, I did some research and have the following:
BizTalk Server 2009 is still in beta so it is possible that the support may improve although unlikely.
If anyone thinks they would need support for missing functionality, like application-specific DLQs for exmaple, then please let me know with some details of your business needs and I will see what can be done.
[[Thanks to Jess Sheneberger]]