Note from that link I posted earlier that the IE 8 SmartScreen Filter not only protects based on sites, but also files, so it's more like a combination of Immunization and the SDHelper resident. However, it's potentially far more responsive since it operates from a central database which can be updated much more quickly with a much broader and deeper database than the weekly updates Spybot S&D provides.
As you mentioned earlier, if they can be combined you can receive the protection of both, though there'll always be overhead and thus a performance hit, though it may not be noticeable in all cases. From my standpoint though, I believe that Microsoft will usually provide most of the same protection, so I'd be creating a lot of duplication and overhead for very little return. Of course, this isn't true for any older operating systems like the Windows 2000 PC I have, so I'll still use all of the features there to compliment the Avast! AV and SpywareBlaster.
I think the biggest point here is that as malware has changed, so has the response from the security community including Microsoft itself. Though Spybot S&D is very configurable which allows reacting to this change, only technically minded users are able to fully understand the requirements of these changes. Thus if Team Spybot wants to support the less technical user they'll need to monitor these changes and react to them with the default tuning of their product, since that user base simply won't take the time to understand security products.
The other choice is simply to decide that the Spybot S&D product is a technical users tool, which has really always been true, and leave the configuration decisions up to the user or adminstrator. This is likely to reduce the numbers of users of the product, but this may be appropriate if they don't wish to 'dumb down' the product in an attempt to service the non-technical user.
I have no problem making these decisions myself, but I have over 30 years background in microprocessor based computers, networks and their security along with several years of assembly language programming experience. The confusion about this issue shown in this and other threads makes it quite clear that many don't have the patience and background to react to such issues in a logical (technical) manner. This has been a tough lesson for even Microsoft to learn as the last 10 years has shown quite clearly.