Never trust a sales man!
Where are the config options? eg. where are the fail-open, fail-block options?
Concerning the MRS lookups:
"How frequently is that by default, is that configurable?"
"This is err.. arrr.. for every URL that happens, if you configure it like that..."
There isn't any bloody configuration available.
TMG web filtering is a bit of a joke in its current form (not just what i mentioned above), I really wanted it to work well - but its not quite there yet.