For some strange and irritating reason, the developers of WordPress MU have decided that users of said product are not allowed to access their own web server using a web address beginning with www.
Fortunaltely, the system is open source so this amazingly stupid setting can be deactivated (comment out a few lines in wpmu-settings.php). It’s just that you have to remeber this change when you update the software.
Read more if this is of any interest to you:
(And I don’t think it’s a bad idea to use URLs without www, it’s just that it’s not up to the developers of WPMU…)