Vlk -
I did an experiment. Using WinRAR (and no active antivirus), I extracted the files in the infected executable, and repacked them into a basic .rar file. I also put the files themselves into their own little folder.
So now I have an infected self-extracting executable, a similarly infected rar archive, and a folder containing the files from those other two archives. These two files (and one folder) I put into a "temp" folder on a USB flash drive. The USB flash drive I plug into a PC running McAfee enterprise. (In McAfee's settings, I have it set to scan all files - which I think just means all file extensions/types - and to scan within archives.)
I double-click on the temp folder to open it, and McAfee immediately scans the archive executable (finding it infected, and being unable to clean it, deletes the whole executable). As you predicted, it does not automatically scan the rar file. Then I single-click on the rar file (just highlighting it), and McAfee scans it, declares it infected, and, being unable to clean it, deletes it. Then I double-click on the folder containing the individual files, and McAfee automatically scans the individual exe's in the folder, finding two of them infected and deleting those two.
So it appears that McAfee (enterprise) does automatically scan certain files when you simply open the directory they're in, but (unlike what I thought earlier, and exactly as you predicted) it doesn't automatically scan all files (e.g., it automatically scans exe's but not rar's).
As we said earlier, I guess the difference between McAfee and Avast in these tests is that Avast figures the files pose no risk until opened/executed, and it'll catch them then, while McAfee thinks it's better to go ahead a spend a few cycles up front checking the most obvious risks (like executables). Both approaches have merit, both have possible drawbacks, so it's a judgment call, personal preference.
Interesting stuff. (Now, just in case, it's time to put back a known-clean OS partition - thank goodness for Ghost :-)