The same thing is happening to me. All shields are active at my end. I am using PPPOE connection.
The following is the direct download link. https://secure.eicar.org/eicar.com
When I click on the ‘eicar.com’ file, the avast icon in the system tray does rotate, showing that real-time scanning is working. However, it detects no threat.
No, it’s on a different HDD, but it’s not mine so I can’t access it right now. (Actually, I can not be sure it’s clean, but there were no antivirus software installed, so i considered it a fresh install. My mistake, sorry.) I removed Kaspersky via add/remove programs, but then the web shield did not work, so I uninstalled everything, used KAV remover, then installed Avast again.
Last year I removed Microsoft Security Essentials and then installed Avast, which could work properly, so I think a previous AV should not be the cause of the problem.
A lot depends on exactly which eicar test you download, .txt files and some multiple zipped/rar archives won’t be scanned as they don’t present an immediate risk as the eicar.com file would/should.