It can't be easy for a company like Symantec to keep on top of the worm/virus situation, but they do it admirably well. I've always found their software does exactly what it says on the box!
If you have an up-to-date list of virus definitions, the chances of becoming infected with Klez are very small, though it's not entirely impossible. Rest assured that you weren't infected this time - you just had an infected file temporarily on your system as MM so rightly said.
The other anti-virus companies do a good job, too - but there's always someone who, for whatever reason, has had a bad experience that they attribute to using someone's software - though the software itself often isn't to blame... always read the instructions, no matter how complex they appear to be!