As a matter of fact you can, but setting it manually.
Standard Shield\Customize\Scanner (Advanced)\Scan files in open\Choose extension.
It's a little effort to find and type the name of all relative archives, but it's possible. The reason for activating on-access archive scan is that recently I had some viruses cleaned from my system. So just a precaution for few weeks isn't such a bad idea, I think. Anyway, thanks!