Amarok 2 SVN (rev 867410) allows you to save and play MMS streams perfectly.
When you add a stream to the playlist though, you can only have amarok play it with a double click on the playlist entry: right-clicking it and pressing play doesn't work; nor does selecting it and pressing the big play button on the top left.
Actually after a recent update, this happens for normal tracks too.
The only way to start playing is double-click.
Yep, it's true.
Fixed in SVN revision 868563.