Pros
The company is making a significant effort to promote innovation. You are encouraged to put your energy and ideas to work. Teams are globally distributed, so although you may need to take meetings at all hours of the day or night, there is understanding if you need to carve out time for your life during what more traditional corporations might consider the work day. The people here are very talented and hard-working.
Cons
Staff are culled on a regular basis. It should always be kept in mind that MSCI's loyalty is to the bottom line, not to the employee. If your current perceived value to the company is less than your current compensation, you will be at risk of termination, regardless of your tenure or your breadth/depth of knowledge.