It is not about Web Shield; avast! tasks have various sensitivity options (you can change them for custom tasks in the Enhanced User Interface). One of the options is to "Ignore virus targetting" - which means to look for everything everywhere. By default, however, avast! scans the particular object for the malware that may infect it (or rather, it doesn't scan for the malware that certainly cannot infect it). For example, it doesn't have much sense to scan .COM files for macroviruses, does it? Similarly, scanning files (e.g. those checked by the Web Shield) for boot viruses that can exist on the boot sector only... is not really necessary.
So, I'm trying to say that it's not a limitation... but rather some kind of optimization of the scanning process.