I was at a presentation last year where Joel from NetworkWorld did a presentation on in depth tested UTMs. The consensus... on pretty much ALL UTMs... is that they are semi ok, then you turn on the firewall and generaly:
A: The firewall sucks
B: Thoughput drops like 50% to 80%.
Then if you go about turning on ALL the bells and whistles, you're looking at turning your little UTM box into a fancy turd in a wonderfully expensive bottleneck to make your network go from Gigabit or 10 Gig to down in the 10Mb or so throughput. Someone made mention at Blackhat to UTMs with firewalls on... I forget the exact wording, but I seem to remember Turd in a Box. Obviously this isn't a definitive or personal experience I'm posting, but what I have read. I would suggest doing an article search on NetworkWorld's website, or if you want slides from his talk I can probably post them. It has all of the statistics on network setup, testing gear, and specific UTM models tested.
"Bad.. Good? I'm the guy with the gun"