Hi David, not sure I have much to say but I hate to see an unanswered thread! :)
I've never tried a set-neck guitar with through-body stringing. I know there are (or used to be) some cheaper Teles with top-strung bridges, and it was always considered much better to have through-body stringing for better sustain and depth of tone.
Whether the same applies with set-necks I don't know. I suspect the likes of PRS (and Martyn Booth himself) wouldn't be using stoptails or traditional tailpieces if through-body stringing was going to sound better. The woods are different, the construction is different, and I suppose the mass of a stop tailpiece has a very different effect from the thin metal of a Tele bridge.
I guess the best thing to do is try it and find out! :D
(I've always liked the look of those MSGs, I see them on eBay sometimes. I've heard the necks are a bit on the skinny side though?)