We had one at the machine shop I worked at for secondary finishing ops. They work very well, you just have to be sure to use the correct media for the material/finish you want. As far as threaded holes go, we didn't protect or plug any threaded holes, but then again our media was bigger than any of the threaded holes so it was a non issue. So I would guess that you'd want to plug up any tapped holes that are bigger than the media used, but it really depends on what media you're using.
And if you're looking for a really nice polish on aluminum, try Walnut Shells with rouge, parts will come up at an almost mirror like finish. See
here.