Basically what would be a problem if there were multiple users with the same email address, username, or screen name. What would happen is that the extension would select the last one it finds (roughly by creation date) and return data for that member only.
However I don’t think this could happen, since those fields are all supposed to be unique across all sites anyway. I *believe* this is true, but I can’t actually find confirmation of this in EE’s documentation - reading through the validation for creating members however, it shouldn’t be possible to create members without unique values for these fields unless you are creating them automatically and side-stepping the validation.
It’s quite possible that third-party add-ons which create Members may not be respecting this rule, which would cause problems. Of course this would cause problems elsewhere in EE, so it’s unlikely they would let this happen.
If your URLs only use member_ids, I am very sure that they would work correctly with MSM even if you have an add-on that is allowing for creating otherwise duplicate members.
So Member Segments very likely is compatible with MSM - but I don’t do anything specific to make it so currently.