That’s wrong. If you go to another malicious website, there will be an alert popup. Once you’ve received that alert for that website, you won’t get a pop-up for 10 more mins on the websites you’ve already had the popup for unless you restart shields.

You can test with http://web-shield-test.avast.com/ and http://test-url-blocker.avast.com/

Edit: Added more info.