I've decided to ditch VMR-9 for a few reasons:
1. It's horribly implemented. You can't use the debug runtimes with it (The debug device doesn't expose the IDirect3DVideoDevice9 interface which VMR-9 needs for rendering). I've also read all sorts of horror stories on the Internet about it leaving resources and being difficult to reset the device.
2. It requires a D3D device to use and requires the device to be multithreaded. I really don't like the idea of that, multithreaded devices in D3D9 are A Bad Thing, and multiple devices is a very bad idea. There's no way (that I can see) to tell VMR-9 to not use a D3D device and to render into a memory buffer like plain DirectShow.
3. It's taken me 3 days to get something nearly working.
4. I don't see what benefits it gives me.

#2 is my main reason for ditching it, with #1 a very strong second. I really don't like being forced to use a multithreaded device so that VMR9 can dick around with a surface that the main thread isn't going to use.

So I'll be going back to plain old DirectShow now then.