All providers/Shields have the same slider, more for the same look and feel, but not all of them have any effect.
The Standard Shield and Internet Mail providers (plus Outlook/Exchange if you use MS Outlook, not express) change the sensitivity/level of the scan when you bump it sensitivity up.
Personally I don't know about the Web Shield provider but I have mine set to High as if it does have any effect I would want a higher level for what probably the highest risk area for infection. I also have the Internet Mail set to High, but the Standard Shield set to Normal (as are the remainder of the providers I use).