Just a quick blog post to help spread the word and prevent some problems. http://blogs.technet.com/b/isablog/archive/2010/09/01/problems-when-installing-exchange-2010-service-pack-1-on-a-tmg-configured-for-mail-protection.aspx 

The root cause is the removal of the get-antispamupdates cmdlet in SP1. Microsoft is on the case and working hard to get a fix out as soon as possible. If you are effected be sure that Microsoft support will help you fast and efficient.

So please beware and hold of an upgrade to SP1 when your using this setup. A fix from the TMG team is forthcoming.