Yes, I like to have scenarios for all of the end points. It definitely doesn't reduce the number of tests :-) The advantage is in isolating the protocol from the operation of the application.

The main complaint I've seen for this approach is, "We shouldn't be testing the other person's system". There is wisdom in that advice, but it really depends on how much you depend on the 3rd party service and how much downtime you can tolerate. For example, I'm working in the travel industry right now and we often rely on small services that nobody has ever heard of. If we can't use the service then we can't sell anything and our site is essentially down. If it happens frequently (and with a lot of these travel services, they often break things weekly if not daily), then your site is not viable. In that case I'll exercise the protocol as much as I can. However, we also talk to marketing services, etc. If that breaks, and it takes a day or two to get it back up, then it's not a major problem -- our marketing effort might be a day late, which is unfortunate, but not game breaking. In that case I'll usually have a smoke test or two.