No, the “Last scanned” (and other) items are grayed-out and the “Script blocker” itself also looks like it IS stopped.
However, any time I click a link up comes the “Script blocker” message!

I just tried this on my Win2K Pro system and I do NOT get the “Script blocker” message after I tell to provider to turn itself off and not to persist the setting.

So in my XP system script blocking continues regardless of being stopped or not but in Win2K it works as I would expect it to.