I'm managing a small network with Small Business Server 2008 and 7 clients running a mix of Vista and XP. The server and clients are all running McAfee Total Protection Service for malware and spyware protection; the clients are also using the McAfee firewall and browser protection features as well.
The McAfee TPS product, which is managed from the cloud, is shown as functional in Windows Security Center on the clients, but the clients are not reporting their protection status to SBS. The SBS Console lists "Critical" status for all clients for both virus and spyware protection, and says that the clients "cannot be queried."
This Usenet thread suggests that WMI traffic is being blocked, although WMI Provider Host has been granted access through the McAfee firewall on the client (the Windows firewall is off).
These clients formerly ran AVG antivirus and they didn't successfully report to SBS then either, which makes me doubt that it's a vendor-specific problem.
Update: Alejandro Campos Magencio's most recent comment on this blog post suggests that McAfee may not be using Microsoft's new super-secret API to report security status to the server. I have a question in to McAfee support about this, though I'm not holding my breath.
You may have allready applied these, but there are a couple of updates that can affect this. Firstly, have you installed update rollup 1 for SBS? This has a fix for clients not reporting properly.
Secondly, have you installed update kb943729 on the clients. This updates group policy preferences for the clients to work with server 2008 and has been know to solve this issue.
For this reason, I generally avoid third party firewalls and use the built-in Windows Firewall. It's a perfectly adequate implementation and is correctly configured by default using Group Policy in an SBS network. Unfortunately, third party security vendors don't do the necessary legwork to give you a working-by-default implementation on SBS and they leave it up to you to work everything out yourself - and some vendors' documentation leaves a lot to be desired.