I find it works about 80% of the time. I also have my ISP flag junk mail with "JUNK" in the headers and yeah about 20 % of those come through windows "live" mail uncaught.
I think the problem is, it is 100% unacceptable to most people to ever throw away a legitimate piece of email. Given that it's impossible to be 100% accurate, I assume that MS has erred on the side of caution to not get tons of flak for throwing away real mail even on the high setting
My ISP junk tagging does in deed tag a legitimate mail about once every several thousand spams (which is about once a month for me). If Windows mail threw away an important bank statement like that, they'd probably be sued for billions or something...