If you are following my blog for a long time you probably read the post TMG E-Mail Protection Feature x Exchange 2010 SP1 (first published more than an year ago) when we were dealing with a major E-Mail protection issue on TMG. Due the nature of the integration between Forefront TMG and E-Mail Protection feature (Forefront for Exchange and Exchange Edge) I also wrote this presentation to assist you while troubleshooting this feature.
The good news is that Forefront TMG 2010 SP2 brings to you the following fixes that will alleviate lots of the issues that were present in the past with this integration:
Go get SP2 and enjoy it!!