Do not install Exchange 2010 SP1 on TMG 2010
Microsoft Forefront TMG Managed Control Service fails to start when you install Exchange 2010 SP1 on TMG 2010. If you are running Microsoft Forefront Protection for Exchange and Exchange Server 2010 Edge Role on TMG 2010 do not install Exchange 2010 SP1. If you already did, contact Microsoft Support.
The root cause is, that TMG uses one of the cmdlets that has been removed in Exchange 2010 SP1.
The Microsoft Forefront TMG 2010 team is working on a fix and will publish it soon.