On-Demand scan from the contextmenu

Good Morning-

Windows Vista Home Premium (32-bit) SP2
ESET NOD32 version 4.0.474.0

I just downloaded a sceensaver. Knowing how notorious these type of sites are for delivering some type malware I wanted to check the download before installing. I 'Right Clicked' the .exe file and clicked 'Scan with ESET NOD32 Antivirus". The On-Demand scan showed 1 file scanned and no infections. However, when I opened the .exe to install I received the NOD32 popup window with the "Warning: Potential threat found" message. I deleted the file.
Of what value is the On-Demand Scan via the context menu, or should I ask, what exactly does the On-Demand scan identify?

Thank you in advance.

 

Certain files may have compressed encrypted components that are not able to be scanned until they are decompressed in memory, which is where the threat was most likely detected by the ESET realtime scanner.

This is by design, in order to deter reverse engineering, as well as to obfuscate the contents.

 

Hard to say what happened without knowing your configuration and checking the file you executed.