Well most IMs do, they can't afford to handle all your messages and files through their server.
So I checked with wireshark while signed on to various im clients from pidgin:
I see no requests that are sent directly to anything other than IPs registered to aol. (22.214.171.124 was the server packets were sent to and from, and is registered to aol)
It gets sent to a microsoft IP. (126.96.36.199 is definitely registered to microsoft.) Messages went to and from this server.
So barring a direct connection (be it file transfer or whatnot), I do not believe it is likely for someone to get your IP through im programs.