Why would a black Democrat even want to run for governor in MS?
Why would any Democrat? Probably just to get some attention or to represent their party.
White Democrats (such as Ronnie Musgrove, Barbour's predecessor) can and do win. Black Democrats cannot and do not.
Musgrove won narrowly in 1999 & lost re-election by 7% in 2003. As ScottM pointed out, Mississippi has become more Republican since then. White Democrats have won the Governor's mansion in Mississippi in our lifetimes, but they probably can't today, barring extraordinary circumstances.
To show just how close the election was the last time a Democrat ran, Musgrove received 49.6% of the vote compared to Mike Parker's 48.5% of the vote. Since Musgrove failed to break the 50% mark, the election went to Mississippi's "electoral vote." To win the electoral vote a candidate would have to win the vote of a majority of Mississippi's 122 House districts. But, the race was tied 61-61 there. So, the Governor was selected by the House, and since the legislature was still dominated by Democrats at that time, Musgrove was of course selected, in a 86-36 vote along party lines.
But, there's one more point to be made about the closeness of the race, Musgrove as Lieutenant governor had relatively high name-recognition across the state, while Parker's name-recognition was more local as he was the Congressman from CD-4. I remember that was a big question in the race: "Can Mike Parker overcome the name-recognition gap?" As the results show, he nearly succeeded.
Edit: One more point I failed to mention. Musgrove was, as mentioned, defeated by Haley Barbour in his re-election bid. Mississippi is not a state with a history of throwing out incumbents (one reason our 2010 Congressional results surprised some). And yet, Barbour defeated Musgrove by a not-insignificant 7%. That demonstrates the shift that was happening pretty well.