What version of NOD32 are you running? What Windows o/s in on that computer? Does this affect ALL files in a .PIF format?
EAV 5.2.9.12 on Windows Vista (32-bit) and EAV 6.0.115 on Windows 7 (32-bit, VirtualBox). Yes, it does.
I took a look and noticed the same thing. This is with Eset NOD32 v. 5.2.9.1 on a system running XP Home SP3. However, I want to add that I have both Malwarebytes and SUPERAntiSpyware running live alongside Eset NOD32. When I do a right-click on a PIF file, I see only Malwarebytes listed to scan the file. Windows shows PIF files as shortcut files and all shortcut files are being treated this same way. Only Malwarebytes is listed as a scanner for these. All other files also show Eset _and_ SUPERAntiSpyware as able to scan the files. So, this is not just an Eset issue!!! SUPERAntiSpyware is affected as well. I don't often scan a file from a right-click context, and most files that I would scan manually are not PIF or shortcut files, so I had not noticed this before.
I checked in on this issue and you're right. Our Product Management team is aware of it. All ESET security products WILL automatically scan these files, so the protection is still there but the right-click scan isn't currently available for .pif files.
It seems that it is a question of how an anti-malware product integrates with Windows Explorer, where the scan option is displayed in the menu that pops up with a right-click on a file icon or name. Why shortcuts would not be scanned by all installed products is a question worth answering.