Are there any performance issue related with lots of "new" calls and things like that? Did anyone test it? Something to take care of?
I made a platformer using Farseer 2. I had no performance issues except for garbage collection, as you mention. There were perhaps three places were I had to fix garbage collection issues, because it was allocating memory during running. These were easy to find by using the CLR Profiler on Windows.
My impression is that Farseer is one of the better-tuned physics engines for Xbox 360 performance.
Farseer 3 is a different code base entirely. But I imagine that the performance story is similar or better.
So my advice is - get the source version and build it with your application. Then test your application with the CLR Profiler. That way you'll find any allocation issues in your own code, and perhaps in Farseer if they exist, and be able to fix them. Basically you want to never see an allocation while your game is playing.
(The other method for keeping garbage collection fast - by keeping your object tree simple - isn't really feasible for non-trivial physics scenes.)