A few times now I've encountered people complaining that MSMQ isn't supported on Windows XPe.
This isn't true - MSMQ has been supported on devices since Windows CE 3.0.
What is actually happening is that the vendor of the device is not supporting MSMQ.
Why this is the case is probably down to cost - the builds they provide to customers contain the components they are willing to support and maintain. Adding functionality to a build means an increased support overhead. Or maybe not enough customers are requesting MSMQ to make it worth adding to the builds. Maybe space available for MSMQ's message storage is an issue (although modern storage technology in devices should now be more than adequate).
If you need MSMQ on your Windows XP embedded devices then shop around - just because one vendor can't support MSMQ doesn't mean they are all in that situation.