So the short answer is it depends on your environment and policies. Here are my thoughts:
Protect as much as possible without compromising security or performance. I have a VWire that is protecting another device and I do have threat protection on it. This way the PAN can block/stop the traffic so the vwire device doesnt get hit with it. For me everything inbound gets this treatment, i.e. the border. Outbound traffic is a different story, some I do and some I dont. It protects not only me if a host is potentially compromised but also others so my potentially compromised host doesnt attack someone else.
I hope that makes sense.
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