Welcome housi:
You can add notes to the infected ones. You can configurate them as you want. At least into Internet Mail provider and MS Outlook plugin. I do not use The Bat plugin but I think it will be the same.
In the subject field of the mail you will see [avast! - INFECTED]
I think the best you can do is download the version 4.5 Beta because it uses a new mail detection that will work automatically. Please, set up your email account just as avast does not exists. It will detect the pop3/smpt/imap ports and scan your messages.
Instructions here: http://forum.avast.com/index.php?board=11;action=display;threadid=8044;start=0
Can you make a try and see if it’s ok?
About the processing sequence, this is by design.
In 4.1, it was like: mail client > avast > spam killer > mail server
In 4.5, it’s like: mail client > spam killer > avast > mail server
I don’t know more to help you. Specially the outbound sequence. :-\