There isn´t problem to export mesh itself from Blender actually, what I am curious is how these Milkshape exporters will deal with armatures animation and furthemore whether and how it will be capable of converting animation via IK solvers into straight FW bones movement as I presume that WME doesn´t handle IK yet (and maybe there is no reason for engine to handle them at all).
As far I know, only the Direct X format exporter in Blender can do this (haven´t tested it yet though), if can, than it should be relatively straight way from Blender to WME as Milkshape can import Direct X animation, If I am not mistaken.
What I try to say in short is-maybe those Milkshape exporter isn´t the only way how to get your animated characters from Blender to WME as there are still in very early stage of development...