The different shields (P2P, IM, eMail and Web, etc.) are specifically designed to monitor that type of traffic/protocol, e.g. they use a specific protocols and ports to communicate P2P, IM, eMail and Web, etc. all use different protocols to communicate, the avast shields are designed to monitor that specific traffic protocol.
The file system shield is watching for files being created, modified or run on your system, the other shields are generally trying to prevent the malware getting on to your system in the first place.
The web shield is possibly the most effective shield since the greatest majority of malware comes from the internet. Whilst browsing, if you happen across a hacked site (very common) then it may have a injected script to download malware or exploit a specific browser, etc. the web shield is very hot on these types of attack. You could also be redirected to a malicious site and the web shield is good at preventing that as is the network shield.
Prevention is by far better than cure, the web shield prevents it getting on to the browser cache, it is also scanning more files by default it scans all files/archives, etc. It can through its prevention of exploits and hacked sites prevent the redirection to a malicious site which could download a piece of malware unknown to the file system shield.
I don't have the P2P or IM Shields installed as I don't use any P2P or IM applications.
