Webshield scans everything that comes from the net.
That makes the name Webshield factually incorrect 
Perhaps NetShield was not as catchy

Excluding the sceper domain, with or without www will indeed exclude it, but that is not what I want. It now also excludes the domain from the script scanning and other parts of Web Shield. That is an unnecessarily broad method of exclusion, imo. I really think it would be nice to have a way to exclude a specific URL from URL blocking, and keep the URL blocking feature itself enabled for all other URLs 
But then we would have people who excluded their favourite site and are confused why there is a popup telling them an infection was blocked. Didn't they just add it to exclusions?
And then, we have the following case: Assume we have a domain (blockeddomain.com). On that site there is an iframe with advertisement/game/stream: <iframe src="blockeddomain.com/iframe.html">
When you load this in your browser, this is what happens:
* blockeddomain.com is checked against the blacklist
* blockeddomain.com is resolved and the IP is checked against the blacklist
* when a 201 reply arrives, the response (source code) is scanned
These three steps are repeated for each resource, in this case we have 2 resources: blockeddomain.com and blockeddomain.com/iframe.html. You have put blockeddomain.com to exclusions, so a popup will not be triggered in the first step.
But the source code contains an iframe to a blocked URL, therefore a HTML:Iframe-inf detection would pop up while scanning the source code.
You might say: "Iframes are not that common, who cares!", but this works the same way with JS as well. How do we solve this issue? Without "disabling webshield" on this whole domain, Avast would still keep popping up.
To sum it up: Domain blocking and content scanning is more closely related than one might think, and for me it makes sense for the users to be able to turn off both, but not to be able to turn off only one or the other. If it depended on me, I would get rid of the "Block malware URLs" checkbox altogether.

I hope I explained it a little, of course feel free to keep the discussion going, we might think of an improvement to the next version

!