For what its worth, I just completed doing this fix to 5 separate exchange systems and the fix ranged from successful to unsuccessful, .. and not updated. So the steps that definitely made a difference.
1. Run as administrator.
2. Run Set-ExecutionPolicy -ExecutionPolicy RemoteSigned.
3. Manually close Microsoft Filtering Management service and make sure Transport is also stopped, and manually end task updateservice. (The script does not wait long enough and errors popup, so do it manually before your run the script.
4. Run update-MalwareFilteringServer.ps1 from the scripts folder.
Some went through without a hitch, connection seemed good while some the connection timed out, my guess is Microsoft is getting bombarded with connections. So I checked Get-EngineUpdateInformation and if I do not have successful I run it again. Eventually I get a good connection to download the update and the update completes, the ones that I are still not working I am bypassing filtering to empty the queues and then I run again and it worked. I them turn filtering back on.
Hope this helps anyone out there
Marc