Under the option "Windows Domain Membership", is there a limit on the number of windows domains that can join a single McAfee Web Gateway appliance?
It wouldn't be more than 5. One other question, is there a limit on adding domain controllers? If not, how does it will if the first is not available?
There isnt a limitation on DCs either. If a DC is down, Web Gateway will mark it as such and move on to the next one. It will mark that "down" DC for the ammount of time specified in the timeout settings (7.3.2+).