This is a bit whimsical, but also a bit practical...
There should be a status of "Projecting Desktop" that can be set.
I believe, at least on Vista & 7, the OS can indicate if a projector is connected and being used. If so, the client can indicate that a projector is connected as part of the status.
The practical part being that others are notified if someone is projecting their desktop - a projector icon would be ideal, but at least a notification before sending an IM that the recipient is projecting their desktop:
(Yes, of course the right answer is - don't send IMs like this...)