if wanted (although absolutely useless imo), such programs like download managers can use the web shield by adding the optin thing in webshield.ini (nothing to do with having downloads scanned by an on demand scanner, set in the DM options, useless too as the file shield does it anyway).
example: OptinProcess=*.exe and specifying 127.0.0.1 or localhost on port 12080 in the DM proxy settings.
The downside is that then, for the current DM example, your DM won't be able to download from other sources than http. Remains the option to not set that globally, but each time for each download. Time consuming and again, not very useful.
@ the OP: POPpeeper works with the mail shield, there's nothing to do. The mail shield will detect and scan any POP/IMAP/SMTP client.