It isn't that the web shield doesn't work with comodo, but that currently comodo can't differentialt between the web shield proxy and programs being redirected through the proxy.
So if you have a set a block on a particular program from accessing the internet, if it is connecting to the internet using the http protocol over an http port, then that traffic would be routed through the web shield proxy so it can scan the content. Because comodo can't differentiate between the two and you have the web shield proxy (avastSvc.exe) allowed, the blocked program can connect.