The gateway level antivirus is good, but I can't comment on their desktop antivirus you can buy into as I've never purchased that add-on. If I'm not mistaken, it's McAfee (which I was never a fan of), but according to Sonicwall:
"When deployed together with a SonicWALL network security appliance,SonicWALL’s Enforced Client ensures that all computers accessing the network have the latest
version of anti-virus and anti-spyware software installed, updated and active."
In regards to their filtering, they have their standard and premium filtering which gives more categories to choose. I have used their filtering and it does a good job; however, I have also used and use a dedicated filtering appliance which has far more granularity of control, management, reporting, and ease of configuration.
The filtering technology used by the NSA series is "proxy" based which means the box has to have internet access to Sonicwall's network which it queries (proxy's) for those requests and while it does keep some of that cached on board, it does not have a hard drive that it keeps a updated database on like dedicated filtering appliances. So there is a little bit of a web surfing delay as it makes those off net queries.
I still purchase the renewal on mine, not for day to day use, but as a filter for my DMZ hosts, as well as a backup filter should my main filtering appliance go down for an extended period of time. I have that capability right now, where as you might not.
If you have the money, then I'd go with a separate dedicated filtering appliance... if not, then definetly use the one for Sonicwall as it's far better than nothing.