Now you have found it, I would leave that option unchecked

Also if you are using Thorough I would suggest after your first scan to drop that to Standard.
Thorough is also by its design very thorough (it scans all files) and perhaps a little overkill for routine use, were a Standard scan without archives should be adequate. Archive (zip, rar, etc.) files are by their nature are inert, you need to extract the files and then you have to run them to be a threat. Long before that happens avast's Standard Shield should have scanned them and before an executable is run that is scanned.
I have only ever done a Through Scan with Archives once shortly after installation just to ensure a clean start state, but with XP for example avast will do a boot-time scan after installation if you select it, this I believe will be quicker and reasonably effective. Like everything in life things are a compromise.