Then under WEB SCANNING, I have "scan all files" unchecked (to speed up web browsing)
In Web Shield Setting->Web Scanning, you can't just uncheck "Scan all files". You can only shift the radio button from "Scan all files" to "Scan selected file types only", and the onus is then on you to individually specify what types of files should be scanned when they are downloaded, in the boxes provided. If you haven't specified any, then I wouldn't expect any will be scanned by the Webshield process.
In MAIN SETTINGS, I have enable web scanning checked [/b] but "use intelligent stream scanning" unchecked (with the understanding that all files will be scanned AFTER they are downloaded).
There has been some discussion elsewhere in the forum on the issue of whether files will actually be scanned at the completion of a download depending on the browser being used - Firefox being given as one in doubt.
They should in any case be scanned by the File Shield (under the Scan when writing rule) providing you haven't disabled that.