We use the McAfee Client Proxy in conjunction with the hosted service (though technically it wouldn't require this). It gives a seamless experience on or off network with a fully enforced policy (which is synchronized, too). The hosted service is often bundled with the Web Gateway itself. You should speak to your reseller about this when you renew.
Technically speaking when you implement both there's almost no configuration required of the MCP -- you just have to get the synchronization between MWG and the cloud service setup and the categories, black lists and whitelists set up.