I haven't had too much experience dealing with MSI's and power on from KB. From what I have been looking at, many MSI reviews, even though they say they support KB power-on, it doesn't seem to work.
I haven't heard of what JustMichael was refering to, but it may be worth checking into. I do know, and have tested that MSI's wake from s1&s2 power saving from keyboard, (sleep and standby). But I dont have one around to test s3&s4 with (powered off).
If I come across anything I'll post it.
By the way, what model MB is it?
sd