Hi,
if the compressed zip archive is password protected, the SEP can't scan it and if your second action is Leave Alone, then you should see this.
You have now two options:
1) change the action from Leave alone to quarantaine (recommend if malware is possible inside) - Please adjust the quarantaine settings, that the client is able to quarantaine the file.
2) identify the file on the affected machine and check it manual or better upload it to Symantec Security Response with the possible password!
Hope this helps.