Thanks for the reply. Does the Headless mode need to be enabled via a policy on ePO? We installed the patch and the SAE balloon is still displayed on IE.
When SAE 3.5 was first released we tested it with help from McAfee, without the balloon we had no issues but with the balloon IE failed to work properly.
After further investigation I managed to find the Headless mode (SiteAdvisor toolbar) policy after updating our SAE extensions.
I duplicated the policy and disabled the toolbar then assigned the policy to a test group. IE 9 now opens perfectly and SiteAdvisor also still works just without the toolbar.
Thanks for the tip!