I too have this issue.
We have Exchange Edge role, Threat management gateway and Forefront protection all on the 1 server.
I have noticed that TMG and Forefront protection dont work well together. Eg in TMG i have all the Virus and content filtering enabled..in particular the message body filter.
If i create rules for say File filter (block executable) and Message body filter for english profanity, they appear in Forefront protection under Policy management - filters - filter lists.
However, if i do it the othr way rount TMG overides and removes the rules, and i get the dreaded 31506 error. This is annoying as with FP i can import keyword lists, but under TMG i cant. I tried creating the rule on TMG for keywords, this then appeared in FR. I then tried to import the list within FP. However when applied TMG took control and prevented it.
MS need to get these products working together, as i dont want to have to type in 300 english profanity words into TMG