I wouldn't bother mentioning it, but at the NEO (New Employee Orientation -- everything at MSFT has an acronym) it was mentioned -- and repeated -- and then emphasized:
We can write a blog. MSFT likes us to write blogs. But the legal staff is worried about looking sneaky, and they'd like all of us MSFT bloggers to mention that we are, indeed, MSFT employees.
So there. I work at Microsoft. I won't put in a disclaimer that I don't speak for Microsoft because IMHO that should be the default legal status on the internet. And you'll see from previous entries that I've been definite about MSFT's poor documentation (and sometimes bizarre code).