All Windows 7 here. No major problems, most of the smaller ones where sorted during testing. Actually thinking going Win 7 x64 due to Adobe Premiere Pro CS5 being x64 only.
To be clear I use Forefront Online Protection for Exchange (FOPE) which is hosted and maintained by Microsoft offsite and it's pretty fantastic at spam and virus blocking. I used to use the Sophos solution but stopped for the very same reasons you mentioned.
I use the Forefront suite for proxy/filtering/spam/e-mail AV at the moment but I'll be evaluating the Endpoint Protection 2010 very soon. I tried the 2007 and agree with @zag it was pretty bad.
The URL categorisation is actually very good. It is updated several times a day from MU or your own WSUS if you have one.
I'm not sure about the licensing I'm afraid, the manager takes care of it. I do know that it's part of our Campus agreement which we get through Pugh.co.uk.
Hi, first time poster, long time lurker.
We use TMG 2010's URL filtering and we find it to be very good. We replaced our old Surf Control and ISA 2006 in the summer and so far it's been much easier to manage having it all on one piece of software.