No, there isn’t such a feature.
WebShield scans the http traffic. The download managers breaks the files into pieces to accelerate download. False positives could occur as “part” of the file could be wrong interpreted as being infected. The connection with that part is broken, but the other parts don’t. The process continues and IDM finished its job.
Only if the final downloaded file is infected File Shield will act.
It’s an intrinsic “problem” of download managers.