Yes you need to change it unless you get a kick out of watching a memory scan done every time you download a file, which I doubt since that was the whole purpose of this topic 'to stop it.'
What causes this and how can I stop it from happening ?
There aren't two programs for scanning, the underlying scanning engine ashServ.exe is the same and the resident scanners scan according to their settings.
The Web Shield only scans HTTP traffic and depending on your settings also will depend on the files scanned.
The standard shield is on-access or when new files are created or modified they will be scanned, again depending on the settings, more or less files are scanned.
By using the ashQuick.exe, which still uses the same scanning engine but does a more thorough scan on all files that you point it at.
This ensures that no files drop through the differences in your settings or the file types for both the web shield and standard shield. You do this by setting your download manager to have all downloaded files scanned by ashQuick.exe as that is the only interface that can do this.