Its existence? Comedic, yes, but no, not what I was referring to.
I just fired up IE on the laptop for the first time... well... not quite ever, but almost, to see if Windows Update would do anything more than the automatic bit. And while loading Windowsupdate.microsoft.com, there was a little warning icon that said "Phishing filter is checking this website".
What really disappoints me is that it didn't find anything to complain about.