The appliance is a hardware device than can break. Typically a hosted service won't "just break". You will probably be able to get some kind of service agreement on your appliance to provide next-day or faster replacement-- factor that into the cost.
Your appliance should have some kind of recuring update agreement, as well. The rules and filters that work on today's spam won't work on tomorrow's spam (since it's, fundamentally, an arms race between the anti-spam people and the pro-spam people). Be sure to factor in the cost of the recurring update agreement for the software running on the appliance.
Finally, the appliance hardware will get old and need to be replaced. Be sure you've factored in the cost for the replacement (and, hopefully, conversed with the manufacturer of the appliance about their intended lifetime for the box).
In the end, it should all come down to cost-benefit and and whether or not the solution does what you want. Nothing is free, and you need to be sure to factor any "hidden costs" (as I've descibed above) into the seemingly low acquisition cost of the appliance.