I'm seem to remember when I tried this about a year ago trying to copy the zip file, auto-protect caught it in the copying process.
It seems pretty ridiculous to me that a zip file containing a virus gets dumped onto a file system and nothing happens (until it's unzipped) That could be hours or days away.
Copying the Eicar test string into a text file and saved as an exe file does get blocked so I guess auto-protect is most likely working.
This leads to my next question.
In the Home Section of the SEPM the action summary is not showing any indication of the action or virus. The preferences were set as default settings. Right now I have them set to
Time Range: 12 hours
Auto-refresh rate: Every 5 minutes
Notifications: Show all notifications
Action Summary display: By number of computers ( also changed to "By detection count on computers")