The Symantec Endpoint Protection client scans compressed files during on-demand, email, and scheduled scans.
You can set how many levels deep you would like SEP to scan which is essential to protect against deeply nested archives.
There is a file called 42.zip that you can find by googling that is only 42Kb but becomes 42 terabytes once uncompressed.
Used to cause havoc with mail servers back in the day.
Because of the significant processing overhead, Auto-Protect does not scan the files that are within compressed files.
However, the files are scanned when they are extracted from compressed files.