I have reported this to Qihoo already, is anybody else having this problem? This has been happening since (at least) the 4.x versions.
When "Scan file when saved" is on (you may turn off other stuff to test this), it does not work properly unless I also turn on "File types to be monitored" -> "All files". To test, get any malware link, or Eicar test file, and download it. If it happens like here you won't receive any warning. But if you go to the folder and copy-paste the file, the new copy will be detected upon being saved.
Now if you turn on "monitor All files", and you try this test again, you will see that the malware file gets detected when it's downloaded (with a .part extension).
Also it is disturbing to notice that the test I just did to confirm this also showed that TS was unable to quarantine the found files for some reason.