Yes, the MS Myphone service is excellent, can remote wipe an locate if needed as well.
The built in lock is all I ever use, I lock my sim and lock the phone, so if their seperated, neither can be used in any case.
It means I enter a pin twice after a reboot, once for phones lock, then one for the sim card, so no-overseas calling on my dime type of thing.
Last thought on that level of security, is I also password protect my back ups, in case the phone is wiped, they can't re-install my information from a back up. Hard resetting is not easily done on here so, I feel pretty secure with the three levels of protection.
Anit-Virus, Well the bad programs out there are caught pretty quick by users an there really hasn't been a lot of mischievous crap on WM in the first place, a few bad examples lately in a couple games, though rare like hen's teeth mostly.
Stick to Windows Marketplace, This forum & Openmarket(FreeMarket) programs and you should be free sailing imo.
Hope that helps some

Any more questions, feel free to ask, many helpful people here.
WR