I re-installed the web shield and rebooted. I let the machine idle for an hour, then I used all of my programs except for IE9 or Chrome (only 2 browsers installed). I messed with it throughout the day and it also idled in between usage. After 6hrs of use, the network shield had over 1,100 items scanned, and the web shield was still 0/0!
So for me, on my machine, with the programs that I use, the web shield doesn't kick in until I open a web browser. But since I have protected my browser with the sandbox, I don't see a need for the web shield. You may find different results on your machine, with your programs.
edit: I am only not using the web shield because I have AIS with the manual sandbox. If I were using the free version without the manual sandbox, I would absolutely use the web shield!