I am on XP and have had a somewhat similar experience.
Ran the in-program check for update and tried updating from 8.02 to 8.04.
I too got the error message near the end of the upgrade and it rolled back but at least it left me with a working 8.02 still.
Further attempts at an update runs the installer but when I select the "Install" button from within it nothing happens. Only the Cancel option will do anything.
Then I tried to deinstall totally to enable me to do a clean install but...I no longer have TMG listed in "Add/Remove Programs" in Control Panel.
So I am now stuck with 8.02 - unable to upgrade and unable to de-install.
I'm sure if I fiddled enough I could work out what program folders to delete and remove all references to TMG from the registry but I have logged in the hope that support can give me the definitive list to save me a lot of time and heartache!