If you view your email through a browser then NO the Mail Shield doesn't monitor/scan that traffic.
The web shield which monitors browser http traffic should, but if you use https connections to browse your email then it is a secure, encrypted protocol and avast can't scan it. That is the whole point of https, secure encrypted traffic to keep prying eyes out.
I checked the Yahoo email site with FF Page Info, and it uses http:, but states it is not encrypted, so what does this mean? Also if I want to download Macaffe it tells me to get rid of Avast. So am I protected or not ??
it means that the web shield will be able to scan yahoo mails pages like any other page as long they're not encrypted, so you're fine. As to McAffee,
forget it, don't even attempt to install an AV when you already got one, this will bring a lot of mess. Either stick to Avast, or uninstall it first and then try something else if you want, but honestly, you're better off with Avast
ps: to be clear, this McAfee message is meant to avoid AVs conflicts, nothing else. So yes with Avast installed, your system is safe.