As far as I'm aware the avast plugin and any Outlook filtering should work together. That was I guess the point of having the plugin for Outlook, so it works within the email client and not from the outside as in the Mail Shield.
Unfortunately I don't use MS Outlook, so I can't really test.
Have you tried disabling the avast plugin for Outlook ?
Then it would only be the Mail Shield, because that would be working from outside Outlook and may be redirecting mail through its proxy to scan it.
If the problem still occurs, then the most likely cause is the Mail Shield, try disabling that and enable the avast Outlook plugin and test again.