One last comment (at least from me). I thought I'd already mentioned this, but maybe I forgot (or worded it badly) or you missed it.
With the Firefox HTTP proxy set as I'd noted, 127.0.0.1 port 12080, and avast's web shield redirect set to port 80 (I think that's default anyway), the web shield does seem to scan HTTP traffic normally. If I open the resident protection options, the web shield is showing a reasonable figure for number of items scanned, and "last scanned" is right up to date.
So any speed improvement (which as David said would probably be marginal anyway) is not from having lost web shield protection.