As with the people in this feedback doc, Selecting the "Default Instance" option in SQL Server 2008 Express RTM has no effect, I had to install SQL Server Express 2008 twice before I realised what was I was doing.
The installation defaults to "SQLExpress" even if you select Default Instance. What problems might I cause myself in the future if I install SQL Server Express as the instance "MSSQLSERVER"?
There is no problem with SQL Express itself. It can be installed, updated, uninstalled just fina as a default instance. But there are plenty of problems with various admin tools, development tools, documentation and samples that all assume, sometimes in hard code, that the Express instance will be named 'SQLEXPRESS'. An example of such 'default' is the LocalSqlServer connection string in the machine configuration, as you already found out. There are other, including VS installation scripts and such, as Andomar found out.
So while is possible to have a SQL Express as 'MSSQLSERVER', it will not be considered as the SQL Express instance by many of the tools from development platform, so is better to go with the flow and have a SQL Express named 'SQLEXPRESS' for the benefit of Visual Studio and friends.