Yahoo/Hotmail are not pop3 email services (unless you pay for the pop3 service), it is web based (so the Internet Mail provider doesn't directly protect it). Web based email is simply your email being viewed in the same way you browser the internet. The pages (that display your email) are downloaded into your Temporary Internet folder, just like regular web pages and displayed on your browser screen.
The Web Shield and finally Standard Shield will scan your files (as they are downloaded into your Temporary Internet folder) when sensitivity is set to High. You can round this 'problem' using 3rd party applications to download the Hotmail messages through the pop3 server (PopHotmail, for instance)
If however, OE is converting the http email and downloading it as regular pop3 email (but if it doesn't use pop3 protocol to download it won't be scanned), so theoretically it should work.
What is your OS?