I used MSE on my main computer. Twice in 2012 it allowed the Sirefef virus to infect the machine. If I recall correctly it was Sirefef.M and Sirefef.R.
Sirefef completely disabled MSE, as well as deleting my restore points, barring my ability to access components of the Control Panel, inhibited my ability to boot to Safe Mode with Networking, disabling the Start/Shutdown, barring RUN commands and on and on.
In both cases, after mucking around for hours, I installed a new hard drive for my OS. MS has updated their threat info to include better removal tools and instructions on reinstalling the disabled OS components.
Sirefef is the only threat that MSE ever encountered on my computer. It failed to prevent its entry, it failed to report its presence until too late and it then succumbed to its cunning wiles, taking key components of the OS with it.
In my case, my expectation for protection exceeded the ability of MSE to deliver. What is hard for me to know is if my expectation for protection was reasonable, as I am not the only person to have Sirefef breach their supposed security.